登入選單

返回Google圖書搜尋

Network Quantile Autoregression

Xuening ZhuWeining WangHangsheng WangWolfgang K. Härdle

出版	Humboldt-Universität zu Berlin, 2016
URL	http://books.google.com.hk/books?id=o33MzQEACAAJ&hl=&source=gbs_api

註釋

It is a challenging task to understand the complex dependency structures in an ultra-high dimensional network, especially when one concentrates on the tail dependency. To tackle this problem, we consider a network quantile autoregression model (NQAR) to characterize the dynamic quantile behavior in a complex system. In particular, we relate responses to its connected nodes and node specific characteristics in a quantile autoregression process. A minimum contrast estimation approach for the NQAR model is introduced, and the asymptotic properties are studied. Finally, we demonstrate the usage of our model by investigating the financial contagions in the Chinese stock market accounting for shared ownership of companies.