کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076452 1477208 2016 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Markov regime-switching quantile regression models and financial contagion detection
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Markov regime-switching quantile regression models and financial contagion detection
چکیده انگلیسی
In this paper, we propose a Markov regime-switching quantile regression model, which considers the case where there may exist equilibria jumps in quantile regression. The parameters are estimated by the maximum likelihood estimation (MLE) method. A simulation study of this new model is conducted covering many scenarios. The simulation results show that the MLE method is efficient in estimating the model parameters. An empirical analysis is also provided, which focuses on the detection of financial crisis contagion between United States and some European Union countries during the period of sub-prime crisis from the angle of financial risk. The degree of financial contagion between markets is subsequently measured by utilizing the quantile regression coefficients. The empirical results show that in a crisis situation, the interdependence between United States and European Union countries dramatically increases.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 67, March 2016, Pages 21-26
نویسندگان
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