7 citations · 7 across the 1 of their papers we have counts for
2 papers
econ.EM2021
Dynamic Network Quantile Regression Model
Xiu Xu, Weining Wang, Yongcheol Shin +1
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile…
q-fin.ST2020★ 7 cited
lCARE -- localizing Conditional AutoRegressive Expectiles
Xiu Xu, Andrija Mihoci, Wolfgang Karl Härdle
We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses…