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Document type:
Zeitungsartikel 
Author(s):
Bernard, C., and Czado, C. 
Title:
Conditional quantiles and tail dependence 
Abstract:
Conditional quantile estimation is a crucial step in many statistical problems. For example, the recent work on systemic risk relies on estimating risk conditional on an institution being in distress or conditional on being in a crisis (Adrian and Brunnermeier, 2010; Brownlees and Engle, 2011). Specifically, the CoVaR systemic risk measure is based on a conditional quantile when one of the variable is in the tail of the distribution. In this paper, we study properties of conditional quantiles a...    »
 
Keywords:
Intermediate tail dependence, Quantile regression, Copula, Linear conditional quantiles, Systemic risk 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Journal of Multivariate Analysis 
Year:
2015 
Journal volume:
138 
Year / month:
2015-06 
Quarter:
2. Quartal 
Month:
Jun 
Pages contribution:
104-126 
Reviewed:
ja 
Language:
en 
Publisher:
Elsevier 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text