Reduced form vector directional quantiles

JOURNAL OF MULTIVARIATE ANALYSIS

卷:158

Article

Montes-Rojas, Gabriel^1,2 

[1] Univ San Andres, CONICET, Vito Dumas 284,B1644BID Victoria, Buenos Aires, DF, Argentina

[2] Univ Autonoma Barcelona, Barcelona, Spain

关键词: Credit default swaps;    Multivariate quantiles;    Multivariate time-series;    Vector autoregression;   

DOI  :  10.1016/j.jmva.2017.03.007

来源: Elsevier

【 摘 要 】

In this paper, we develop a reduced form multivariate quantile model, using a directional quantile framework. The proposed model is the solution to a collection of directional quantile models for a fixed orthonormal basis, in which each component represents a directional quantile that corresponds to a particular endogenous variable. The model thus delivers a map from the space of exogenous variables (or the sigma-field generated by the information available at a particular time) and a unit ball whose dimension is given by the number of endogenous variables, to the space of endogenous variables. The main effect of interest is that of exogenous variables on the vector of endogenous variables, which depends on a multivariate quantile index. An estimator is proposed, using quantile regression time series models, and we study its asymptotic properties. The estimator is then applied to study the interdependence among countries in the European sovereign bonds credit default swap market. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free