3 papers
econ.EM2026
Soft-Noncrossing Bayesian Panel Quantile Regression for Measuring Climate Tail Risk
Florian Huber, Aubrey Poon, Dan Zhu
We develop a hierarchical Bayesian panel quantile regression model in which unit-specific coefficient paths are smoothed across quantiles by Gaussian processes, while a common time…
econ.GN2025
U.S. Economy and Global Stock Markets: Insights from a Distributional Approach
Ping Wu, Dan Zhu
Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to…
stat.AP2025
A Quantile Nelson-Siegel model
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
We propose a novel framework for modeling the yield curve from a quantile perspective. Building on the dynamic Nelson-Siegel model of Diebold et al. (2006), we extend its tradition…