Non-parametric quantile dependencies between volatility discontinuities and political risk
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DOI: 10.1016/j.frl.2018.12.022
Abstract: In this paper, we investigate the non-parametric relation between political risk and Mexican financial markets. We focus on stock, foreign exchange, financial institutions bond, corporate bond and sovereign bond markets. We apply a quantile correlation… read more here.
Keywords: non parametric; parametric quantile; political risk; risk ... See more keywords
An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
Sign Up to like & getrecommendations! Published in 2020 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2020.1820372
Abstract: This paper deals with the use of parametric quantile regression for the calculation of a loaded premium, based on a quantile measure, corresponding to individual insurance risk. Heras et al. have recently introduced a ratemaking… read more here.
Keywords: quantile regression; two stage; regression; stage quantile ... See more keywords