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20192026
most citedNonparametric Quantile Regressions for Panel Data Models with Large T

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q-fin.RM2026

Multiplicative Contractions, Additive Recoveries: Functional-Form Restrictions on Risk Exposure Dynamics

Liang Chen

We test a regime-conditional functional-form restriction on aggregate risk-exposure dynamics implied by VaR-constrained intermediary models: exposures contract multiplicatively whe…