Single-Index-Based CoVaR With Very High-Dimensional Covariates

By Yan Fan, Wolfgang Karl Härdle, Weining Wang, Lixing Zhu. 2018

70 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3012520ae10c53ca28e3a3252444ad02e19554f5

Citations in the corpus

• TENET: Tail-Event driven NETwork risk (2016, unknown): “To estimate the shape of a link function g(·) and selected β coefficients we adopt minimum average contrast estimation approach (MACE) outlined in Fan et al. (2014). The estimation of β and g(·) is as following:”