A quantile vector autoregressive (VAR) model, unlike standard VAR, traces the interaction among the endogenous random variables at any quantile. Quantile forecasts are obtained by factorizing the joint distribution in a recursive structure but cannot be obtained from reduced form estimation. ...
This approach involves estimating the following Quantile Vector Autoregression (QVAR) models across different quantiles:(1)xt=μ(τ)+∑j=1pBj(τ)xt−j+ut(τ) The variables xt and xt−j represent K×1 dimensional endogenous variables vectors, while τ is a vector containing quantiles ranging...
An empirical application to backtesting global Growth-at-Risk shows that a combination of the generalized autoregressive conditionally heteroscedastic model and the vector autoregression for Value-at-Risk performs best out-of-sample in terms of the check loss. KEYWORDS: Forecasting Markov chain ...
where βτ,t is a p× 1 parameter vector. For example, if Xt=1,Yt−1,…,Yt−p−1′ and βτ,t does not depend on t, we get the quantile autoregression (QAR) model (5), (48)QYtτ|ℱt−1=β1τ+β2τYt−1+⋯+βpτYt−p−1=βτ′Xt, where βτ=β1τ...
2012) and the vector autoregression framework (Diebold and Yilmaz 2014), which fall short of accommodating heterogeneous effects across the size distribution of shocks. From the perspective of prudently supervising the financial system, network interconnectedness under extreme market conditions makes more ...
(Foglia and Angelini2020; Fan et al.2021; Roncoroni et al.2021; Andries et al.2022). Most of these studies rely on simple mean-based estimators, such as the Granger-causality methods (Billio et al.2012) and the vector autoregression framework (Diebold and Yilmaz2014), which fall short ...
Environmental sustainability is an umbrella approach depending on various climatic and economic policies. In doing so, the current study empirically evaluates the role of green finance, eco-innovation, and environmental policy stringency on the ecological footprint in China. To meet the objectives, the...
By employing the Quantile Vector Autoregression (QVAR) method, we are able to uncover the correlation structure within the network of RMB exchange rate tail risk volatility spillovers. This analysis elucidates the propagation of tail risk among RMB exchange rates from both temporal and spectral ...
,m,j=1,…,n be an m×n matrix with an element aij and denote ιℓ as an ℓ×1 vector of ones. A∘B denotes the Hadamard product of A and B. Other notations are standard. Access through your organization Check access to the full text by signing in through your organization. ...
Furthermore, an intense spillover was observed only in the lower and upper quantiles, and the spillover was sharper for the extreme upper quantile. Keywords: spillovers; Latin American stock markets; quantile vector autoregression JEL Classification: C01; C21 Corresponding author: Maximiliano Kruel, ...