Computation and application of Copula-based weighted average quantile regression

作者：

Highlights：

• We propose weighted average quantile method to estimate Copulas.

• Asymptotic properties of the estimators are provided.

• Simulations show satisfactory performance of the proposed estimates.

• The weighted average quantile Copula technique is applied to investigate the dependent structure and risk measurement of Chinese financial markets.

摘要

•We propose weighted average quantile method to estimate Copulas.•Asymptotic properties of the estimators are provided.•Simulations show satisfactory performance of the proposed estimates.•The weighted average quantile Copula technique is applied to investigate the dependent structure and risk measurement of Chinese financial markets.

论文关键词：Risk management,Multivariate statistics,Copula function,Asymptotic distribution,Quantile regression,Nonlinear equation

论文评审过程：Received 20 April 2014, Revised 19 July 2014, Available online 31 December 2014.

论文官网地址：https://doi.org/10.1016/j.cam.2014.12.015