विधियों की तुलना करें
चुनी हुई विधियों की आमने-सामने समीक्षा करें; भिन्नता वाली पंक्तियाँ रेखांकित हैं।
| डीसीसी-एमआईडीएएस× | क्वांटाइल VAR (Quantile VAR)× | |
|---|---|---|
| क्षेत्र | अर्थमिति | अर्थमिति |
| परिवार | Regression model | Regression model |
| उद्भव वर्ष≠ | 2013 | 2006 |
| प्रवर्तक≠ | Engle, Ghysels, and Sohn | Koenker and Xiao |
| प्रकार≠ | Time-varying correlation model | Distribution impulse response |
| मौलिक स्रोत≠ | Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776-797. DOI ↗ | Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990. DOI ↗ |
| उपनाम | DCC mixed-frequency model | Quantile-based impulse response |
| संबंधित | 3 | 3 |
| सारांश≠ | DCC-MIDAS combines dynamic conditional correlation (DCC) GARCH with mixed-frequency data sampling (MIDAS), enabling estimation of time-varying correlations between variables when observations arrive at different frequencies. Introduced by Engle et al. (2013), it models how correlations evolve with low-frequency macroeconomic conditions using high-frequency asset price information. This is crucial for portfolio risk management and understanding macro-finance linkages. | Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times. |
| ScholarGateडेटासेट ↗ |
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