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Bank of Canada RSS Feedsen2024-03-28T14:04:36+00:00Estimating Systematic Risk Under Extremely Adverse Market Conditions
https://www.bankofcanada.ca/2016/05/staff-working-paper-2016-22/
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.2016-05-04T15:02:09+00:00enEstimating Systematic Risk Under Extremely Adverse Market Conditions2016-05-04Econometric and statistical methodsFinancial marketsStaff Working Paper 2016-22https://www.bankofcanada.ca/wp-content/uploads/2016/05/swp2016-22.pdfEstimating Systematic Risk Under Extremely Adverse Market ConditionsMaarten van OordtChen ZhouMay 2016CC1C14GG0G01