Jämför metoder
Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| Tvärkvantilogram× | Kvantil-VAR× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2012 | 2006 |
| Upphovsperson≠ | Oliver Linton and Yoon-Jin Whang | Koenker and Xiao |
| Typ≠ | Correlation measure | Distribution impulse response |
| Ursprungskälla≠ | Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257. link ↗ | Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990. DOI ↗ |
| Alias≠ | — | Quantile-based impulse response |
| Närliggande | 3 | 3 |
| Sammanfattning≠ | The cross-quantilogram extends the cross-correlogram concept to quantile pairs of two time series, measuring dependence at different quantile levels. Introduced by Linton and Whang (2012), it captures how shocks at specific quantile levels in one series relate to movements in another, enabling asymmetric dependence analysis. This approach is particularly valuable when downside and upside risk correlations differ materially. | 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. |
| ScholarGateDatamängd ↗ |
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