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A Nonparametric Dynamic Network via Multivariate Quantile Autoregressions

Author

Listed:
  • Zongwu Cai

    (Department of Economics, The University of Kansas, Lawrence, KS 66045, USA)

  • Xiyuan Liu

    (Department of Economics, The University of Kansas, Lawrence, KS 66045, USA)

Abstract

In this article, we propose a vector autoregressive model for conditional quantiles with functional coefficients to construct a novel class of nonparametric dynamic network systems, of which the interdependences among tail risks such as Value-at-Risk are allowed to vary smoothly with a variable of general economy. Methodologically, we develop an easy-to-implement two-stage procedure to estimate functionals in the dynamic network system by the local linear smoothing technique. We establish the consistency and the asymptotic normality of the proposed estimator under strongly mixing time series settings. The simulation studies are conducted to show that our new methods work fairly well. The potential of the proposed estimation procedures is demonstrated by an empirical study of constructing and estimating a new type of nonparametric dynamic financial network.

Suggested Citation

  • Zongwu Cai & Xiyuan Liu, 2020. "A Nonparametric Dynamic Network via Multivariate Quantile Autoregressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202209, University of Kansas, Department of Economics, revised Mar 2022.
    • Handle: RePEc:kan:wpaper:202209
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    File URL: http://www2.ku.edu/~kuwpaper/2022Papers/202209.pdf
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    References listed on IDEAS

    as
    1. Xiao, Zhijie & Koenker, Roger, 2009. "Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1696-1712.
    2. Cai, Zongwu & Xu, Xiaoping, 2009. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
    3. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(1), pages 17-39, February.
    4. Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
    5. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(5), pages 793-813, December.
    6. Cai, Zongwu & Masry, Elias, 2000. "Nonparametric Estimation Of Additive Nonlinear Arx Time Series: Local Linear Fitting And Projections," Econometric Theory, Cambridge University Press, vol. 16(4), pages 465-501, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Conditional quantile models; Dynamic financial network; Functional coefficient models; Nonparametric estimation; VAR modeling.;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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