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Network quantile autoregression

Citations

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Cited by:

  1. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  2. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor, 2022. "SONIC: SOcial Network analysis with Influencers and Communities," Journal of Econometrics, Elsevier, vol. 228(2), pages 177-220.
  3. Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo, 2024. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Econometrics and Statistics, Elsevier, vol. 29(C), pages 113-131.
  4. Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023. "The connectedness of Energy Transition Metals," Energy Economics, Elsevier, vol. 128(C).
  5. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
  6. He, Zhipeng & Zhang, Shuguang, 2024. "Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 62(PB).
  7. Xiao, Xuan & Xu, Xingbai & Zhong, Wei, 2023. "Huber estimation for the network autoregressive model," Statistics & Probability Letters, Elsevier, vol. 203(C).
  8. Hossain, Mohammad Razib & Ben Jabeur, Sami & Si Mohammed, Kamel & Shahzad, Umer, 2024. "Time-varying relatedness and structural changes among green growth, clean energy innovation, and carbon market amid exogenous shocks: A quantile VAR approach," Technological Forecasting and Social Change, Elsevier, vol. 208(C).
  9. Yiming Tang & Yang Bai & Tao Huang, 2021. "Network vector autoregression with individual effects," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(6), pages 875-893, August.
  10. Cameron Cornell & Lewis Mitchell & Matthew Roughan, 2024. "Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression," Papers 2408.12210, arXiv.org.
  11. Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
  12. Guo, Hongfeng & Zhao, Xinyao & Yu, Hang & Zhang, Xin, 2021. "Analysis of global stock markets’ connections with emphasis on the impact of COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
  13. Guo, Hongfeng & Xia, Shengxiang & An, Qiguang & Zhang, Xin & Sun, Weihua & Zhao, Xinyao, 2020. "Empirical study of financial crises based on topological data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
  14. Liu, Zixin & Hu, Jun & Zhang, Shuguang & He, Zhipeng, 2024. "Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  15. Jiang, Binyan & Li, Jialiang & Yao, Qiwei, 2023. "Autoregressive networks," LSE Research Online Documents on Economics 119983, London School of Economics and Political Science, LSE Library.
  16. Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  17. Victor Chernozhukov & Wolfgang K. Hardle & Chen Huang & Weining Wang, 2018. "LASSO-Driven Inference in Time and Space," Papers 1806.05081, arXiv.org, revised May 2020.
  18. Mirko Armillotta & Konstantinos Fokianos, 2024. "Count network autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(4), pages 584-612, July.
  19. Chen, Yu & Gao, Yu & Shu, Lei & Zhu, Xiaonan, 2023. "Network effects on risk co-movements: A network quantile autoregression-based analysis," Finance Research Letters, Elsevier, vol. 56(C).
  20. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Hussain Shahzad, Syed Jawad & Výrost, Tomáš, 2022. "Measuring systemic risk in the global banking sector: A cross-quantilogram network approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics.
  21. Victor Chernozhukov & Chen Huang & Weining Wang, 2021. "Uniform Inference on High-dimensional Spatial Panel Networks," Papers 2105.07424, arXiv.org, revised Jul 2025.
  22. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Okhrin, Yarema, 2017. "Tail event driven networks of SIFIs," SFB 649 Discussion Papers 2017-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  23. Zhu, Zhoufan & Zhang, Ningning & Zhu, Ke, 2024. "Big portfolio selection by graph-based conditional moments method," Journal of Empirical Finance, Elsevier, vol. 78(C).
  24. Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
  25. Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022. "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, vol. 46(PB).
  26. repec:hum:wpaper:sfb649dp2017-012 is not listed on IDEAS
  27. repec:hum:wpaper:sfb649dp2017-004 is not listed on IDEAS
  28. Chen, Yan & Luo, Qiong & Zhang, Feipeng, 2025. "Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
  29. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
  30. Mihoci, Andrija & Althof, Michael & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2019. "FRM Financial Risk Meter," IRTG 1792 Discussion Papers 2019-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  31. Qian, Ya & Härdle, Wolfgang Karl & Chen, Cathy Yi-Hsuan, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers 2017-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  32. Hu, Junjie & Härdle, Wolfgang, 2021. "Networks of news and cross-sectional returns," IRTG 1792 Discussion Papers 2021-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  33. Chen, Elynn Y. & Fan, Jianqing & Zhu, Xuening, 2023. "Community network auto-regression for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 235(2), pages 1239-1256.
  34. Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
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