We propose a Sparse Nonparametric Dynamic Graphical Model for financial application. We base our model on multiple CAViaR quantile regression models, and we address the issue of the quantile crossing for this type of semi-parametric models. We show how to jointly estimate the multiple quantile levels by exploiting the conditions on the parameters and setting the estimation as a linear constrained optimization problem. We employ the defined non-crossing Multiple CAViaR model as non-parametric estimation of the marginal distributions to get a sparse dynamic graphical model.

Sparse Nonparametric Dynamic Graphical Models / Poggioni, Fabrizio; Bernardi, Mauro; Petrella, Lea. - (2018).

Sparse Nonparametric Dynamic Graphical Models

Fabrizio Poggioni
;
Mauro Bernardi
;
Lea Petrella
2018

Abstract

We propose a Sparse Nonparametric Dynamic Graphical Model for financial application. We base our model on multiple CAViaR quantile regression models, and we address the issue of the quantile crossing for this type of semi-parametric models. We show how to jointly estimate the multiple quantile levels by exploiting the conditions on the parameters and setting the estimation as a linear constrained optimization problem. We employ the defined non-crossing Multiple CAViaR model as non-parametric estimation of the marginal distributions to get a sparse dynamic graphical model.
2018
Book of short papers SIS 2018
Multiple Quantile ; Non-Crossing ; Dynamic Graphical Model
02 Pubblicazione su volume::02a Capitolo o Articolo
Sparse Nonparametric Dynamic Graphical Models / Poggioni, Fabrizio; Bernardi, Mauro; Petrella, Lea. - (2018).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1191101
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