Search Results for author:
Found 4 papers, 0 papers with code
Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy.
Fused LASSO as Non-Crossing Quantile Regression
Quantile crossing has been an ever-present thorn in the side of quantile regression.
Decoupling Shrinkage and Selection for the Bayesian Quantile Regression
We propose a new variant of the SAVS which automates the choice of penalisation through quantile specific loss-functions that are valid in high dimensions.
Horseshoe Prior Bayesian Quantile Regression
The performance of the proposed HS-BQR is evaluated on Monte Carlo simulations and a high dimensional Growth-at-Risk (GaR) forecasting application for the U. S.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
