Shih-Kang Chao

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Spandauer Strasse 1

Berlin, D-10178

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

332

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Quantile Regression in Risk Calibration

SFB 649 Discussion Paper 2012-006
Number of pages: 26 Posted: 07 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Yorkaffiliation not provided to SSRN
Downloads 82 (400,218)
Citation 2

Abstract:

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CoVaR, Value-at-Risk, quantile regression, locally linear quantile regression, partial linear model, semiparametric model

2.

Factorisable Multi-Task Quantile Regression

SFB 649 Discussion Paper 2016-057
Number of pages: 70 Posted: 04 Jan 2017
Wolfgang K. Härdle, Shih-Kang Chao and Ming Yuan
Blockchain Research Center, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Wisconsin - Madison
Downloads 55 (491,910)
Citation 1

Abstract:

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Factor model; Fast iterative shrinkage-thresholding algorithm; Multivariate Regression; Spatial extreme; Financial risk

3.

Multivariate Factorisable Sparse Asymmetric Least Squares Regression

SFB 649 Discussion Paper 2016-058
Number of pages: 32 Posted: 29 Dec 2016
Shih-Kang Chao, Wolfgang K. Härdle and Chen Huang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Aarhus University - Department of Economics and Business Economics
Downloads 54 (496,055)

Abstract:

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high-dimensional M-estimator, nuclear norm regularizer, factorization, expectile regression, fMRI, risk perception, multivariate functional data

4.

Simultaneous Inference for the Partially Linear Model with A Multivariate Unknown Function When the Covariates are Measured with Errors

SFB 649 Discussion Paper 2016-024
Number of pages: 31 Posted: 04 Aug 2016
Kun Ho Kim, Shih-Kang Chao and Wolfgang K. Härdle
Yeshiva University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 41 (554,698)

Abstract:

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Measurement error, Partially linear model, Regression calibration, Non-parametric function, Semi-parametric regression, Uniform confidence surface, Simultaneous inference, U.S. Gasoline demand, Non-linearity

5.

The Impact of News on US Household Inflation Expectations

SFB 649 Discussion Paper 2017-011
Number of pages: 14 Posted: 29 May 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 40 (559,715)

Abstract:

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Inflation expectations, news impact, forecast disagreement

6.

Credit Risk Calibration Based on CDS Spreads

SFB 649 Discussion Paper 2014-026
Number of pages: 41 Posted: 05 Jan 2017
Shih-Kang Chao, Wolfgang K. Härdle and Pham Thu Hien
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Humboldt University of Berlin
Downloads 37 (575,127)

Abstract:

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CDS, VaR, CoVaR, stressed VaR, Central Counterparty, Quantile Regression

7.

Factorisable Sparse Tail Event Curves with Expectiles

SFB 649 Discussion Paper 2016-018, Economic Risk, Berlin
Number of pages: 6 Posted: 27 Jun 2016
Wolfgang K. Härdle, Chen Huang and Shih-Kang Chao
Blockchain Research Center, Aarhus University - Department of Economics and Business Economics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 23 (661,953)

Abstract:

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multivariate functional data, high-dimensional M-estimators, nuclear norm regularizer, factor analysis, expectile regression, fMRI, risk perception

8.

Confidence Corridors for Multivariate Generalized Quantile Regression

Journal of Business and Economic Statistics, DOI:10.1080/07350015.2015.1054493
Posted: 20 Feb 2016 Last Revised: 06 Jun 2016
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Ruhr University of Bochum, Ruhr University of Bochum - Faculty of Mathematics and Blockchain Research Center

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Bootstrap; Expectile regression; Goodness-of-fit tests; Quantile treatment effect; Smoothing; nonparametric regression