Time-varying quantile association regression model with applications to financial contagion and VaR.
Wuyi YeKebing LuoXiaoquan LiuPublished in: Eur. J. Oper. Res. (2017)
Keyphrases
- regression model
- financial markets
- regression methods
- model selection
- regression analysis
- generalized linear models
- kernel regression
- linear model
- prediction model
- risk management
- multivariate regression
- linear regression model
- logistic regression models
- explanatory variables
- regression trees
- prediction intervals
- independent variables
- generalized linear
- portfolio optimization
- robust optimization
- gaussian process
- interval valued data
- survival analysis
- semi parametric
- support vector regression
- stock market
- decision making
- condition number
- regression method
- stock price
- data mining