Dynamic cyber risk estimation with competitive quantile autoregression
Sign Up to like & getrecommendations! Published in 2022 at "Data Mining and Knowledge Discovery"
DOI: 10.1007/s10618-021-00814-z
Abstract: The increasing value of data held in enterprises makes it an attractive target to attackers. The increasing likelihood and impact of a cyber attack have highlighted the importance of effective cyber risk estimation. We propose… read more here.
Keywords: competitive quantile; risk; quantile autoregression; cyber risk ... See more keywords
Unit root quantile autoregression testing with smooth structural changes
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.10.008
Abstract: Abstract By incorporating the flexible Fourier form into quantile autoregression model, this paper proposes three new unit root test statistics, which are robust to both non-Gaussian condition and structural changes. Since their limiting distributions are… read more here.
Keywords: structural changes; root quantile; unit root; quantile autoregression ... See more keywords
A quantile autoregression analysis of price volatility in agricultural markets
Sign Up to like & getrecommendations! Published in 2020 at "Agricultural Economics"
DOI: 10.1111/agec.12554
Abstract: This paper investigates the dynamics of agricultural price volatility based on a quantile autoregression (QAR) model. The QAR model provides a flexible representation of the distribution of price and its dynamics. The approach is applied… read more here.
Keywords: analysis; quantile autoregression; period; price ... See more keywords