Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 2 of 2 for “"conditional quantile model"”.
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Three essays in time series analysis
The first essay studies quantile impulse response functions (QIRFs) and their applications in macroeconomics and finance. We build a multi-equation autoregressive conditional quantile model and propose a new construction of the QIRF. We investigate dynamic QIRFs of the US economy in response to …
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… market, this dissertation develops a unified conditional asset pricing framework that integrates time-varying risk exposures, distributional asymmetry, and high-dimensional information. The analysis addresses three interrelated challenges in empirical asset pricing: state-dependent factor …