Powered by OpenAIRE graph
Found an issue? Give us feedback
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ Computational Statis...arrow_drop_down
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Computational Statistics & Data Analysis
Article . 2017 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
zbMATH Open
Article . 2017
Data sources: zbMATH Open
https://dx.doi.org/10.48550/ar...
Article . 2015
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
DBLP
Article . 2017
Data sources: DBLP
versions View all 5 versions
addClaim

D-vine copula based quantile regression

Authors: Daniel Kraus; Claudia Czado;

D-vine copula based quantile regression

Abstract

Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate building blocks, a so-called pair-copula construction (PCC). The proposed algorithm works fast and accurate even in high dimensions and incorporates an automatic variable selection by maximizing the conditional log-likelihood. Further, typical issues of quantile regression such as quantile crossing or transformations, interactions and collinearity of variables are automatically taken care of. In a simulation study the improved accuracy and saved computational time of the approach in comparison with established quantile regression methods is highlighted. An extensive financial application to international credit default swap (CDS) data including stress testing and Value-at-Risk (VaR) prediction demonstrates the usefulness of the proposed method.

Keywords

Applications of statistics to actuarial sciences and financial mathematics, FOS: Computer and information sciences, quantile regression, conditional copula quantile, stress testing, Methodology (stat.ME), conditional distribution, vine copula, Nonparametric regression and quantile regression, Computational methods for problems pertaining to statistics, Characterization and structure theory for multivariate probability distributions; copulas, Statistics - Methodology

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    147
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Top 1%
Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
147
Top 1%
Top 10%
Top 1%
Green
bronze