Reduced form vector directional quantiles

• Autores: Montes Rojas, Gabriel Victorio
• Año de publicación: 2017
• Idioma: inglés
• Tipo de recurso: artículo
• Materia: Credit Default Swaps; Multivariate Quantiles; Multivariate Time-Series; Vector Autoregression
• Institución: Consejo Nacional de Investigaciones Científicas y Técnicas

In this paper, we develop a reduced form multivariate quantile model, using a directional quantile framework. The proposed model is the solution to a collection of directional quantile models for a fixed orthonormal basis, in which each component represents a directional quantile that corresponds to a particular endogenous variable. The model thus delivers a map from the space of exogenous variables (or the σ-field generated by the information available at a particular time) and a unit ball whose dimension is given by the number of endogenous variables, to the space of endogenous variables. The main effect of interest is that of exogenous variables on the vector of endogenous variables, which depends on a multivariate quantile index. An estimator is proposed, using quantile regression time series models, and we study its asymptotic properties. The estimator is then applied to study the interdependence among countries in the European sovereign bonds credit default swap market.
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina. Universitat Autònoma de Barcelona; España. Universidad de San Andrés; Argentina