Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148885
Authors: 
Zhu, Xuening
Wang, Weining
Wang, Hangsheng
Härdle, Wolfgang
Year of Publication: 
2016
Series/Report no.: 
SFB 649 Discussion Paper 2016-050
Abstract: 
It is a challenging task to understand the complex dependency structures in an ultra-high dimensional network, especially when one concentrates on the tail dependency. To tackle this problem, we consider a network quantile autoregres- sion model (NQAR) to characterize the dynamic quantile behavior in a complex system. In particular, we relate responses to its connected nodes and node spe- ci c characteristics in a quantile autoregression process. A minimum contrast estimation approach for the NQAR model is introduced, and the asymptotic properties are studied. Finally, we demonstrate the usage of our model by in- vestigating the nancial contagions in the Chinese stock market accounting for shared ownership of companies.
Subjects: 
Social Network
Quantile Regression
Autoregression
Systemic Risk
Financial Contagion
Shared Ownership
Document Type: 
Working Paper

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