1 code implementation • 15 Nov 2021 • Xiu Xu, Weining Wang, Yongcheol Shin, Chaowen Zheng
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information.
no code implementations • 28 Sep 2020 • Xiu Xu, Andrija Mihoci, Wolfgang Karl Härdle
We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model.