arXiv 18 May 2023 · Econometrics
arXiv:2305.11282 · PDF · DOI · OpenAlex · Extracted main text
This paper considers the specification of covariance structures with tail estimates. We focus on two aspects: (i) the estimation of the VaR-CoVaR risk matrix in the case of larger number of time series observations than assets in a portfolio using quantile predictive regression models without assuming the presence of nonstationary regressors and; (ii) the construction of a novel variable selection algorithm, so-called, Feature Ordering by Centrality Exclusion (FOCE), which is based on an assumption-lean regression framework, has no tuning parameters and is proved to be consistent under general sparsity assumptions. We illustrate the usefulness of our proposed methodology with numerical studies of real and simulated datasets when modelling systemic risk in a network.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Adrian, T. and Brunnermeier, M. K (2016) Covar | 0.737 | 3 | 2 | 100% |
| 2 | Härdle, W. K., Wang, W., and Yu, L (2016) Tenet: Tail-event driven network risk | 0.737 | 3 | 2 | 100% |
| 3 | Katsouris, C (2021) Optimal portfolio choice and stock centrality for tail risk events self | 0.737 | 3 | 2 | 100% |
| 4 | Caner, M., Medeiros, M., and Vasconcelos, G. F (2022) Sharpe ratio analysis in high dimensions: Residual-based nodewise regression in factor models | 0.693 | 5 | 1 | 100% |
| 5 | Peralta, G. and Zareei, A (2016) A network approach to portfolio selection | 0.644 | 4 | 2 | 50% |
| 6 | Azadkia, M. and Chatterjee, S (2021) A simple measure of conditional dependence | 0.644 | 2 | 2 | 100% |
| 7 | Guo, X. and Tang, C (2021) Specification tests for covariance structures in high-dimensional statistical models | 0.644 | 2 | 2 | 100% |
| 8 | Olmo, J (2021) Optimal portfolio allocation and asset centrality revisited | 0.644 | 2 | 2 | 100% |
| 9 | Barigozzi, M. and Hallin, M (2017) A network analysis of the volatility of high dimensional financial series | 0.511 | 2 | 2 | 50% |
| 10 | Billio, M., Getmansky, M., Lo, A. W., and Pelizzon, L (2012) Econometric measures of connectedness and systemic risk in the finance and insurance sectors | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 68 scored citations.
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