no code implementations • 13 Jun 2020 • David Kohns, Tibor Szendrei
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.
no code implementations • 18 Jul 2021 • David Kohns, Tibor Szendrei
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.
no code implementations • 20 Mar 2024 • Tibor Szendrei, Arnab Bhattacharjee, Mark E. Schaffer
Quantile crossing has been an ever-present thorn in the side of quantile regression.
no code implementations • 1 Apr 2024 • Katalin Varga, Tibor Szendrei
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy.