Michael Althof

Humboldt University of Berlin - Institute for Statistics and Econometrics

Spandauer Str. 1

Berlin, D-10178

Germany

http://irtg1792.hu-berlin.de

  • Humboldt University of Berlin - Institute for Statistics and Econometrics

SCHOLARLY PAPERS

4

DOWNLOADS

874

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Ideas:
“  Vector Quantile Regression  ”

  • Humboldt University of Berlin - Institute for Statistics and Econometrics

Scholarly Papers (4)

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1.

FRM Financial Risk Meter

Advances in Econometrics, Volume 42, The Econometrics of Networks
Number of pages: 35 Posted: 05 Aug 2019 Last Revised: 07 Apr 2020
Andrija Mihoci, Michael Althof, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Brandenburg University of Technology (BTU), Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 367 (126,748)
Citation 3

Abstract:

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Systemic Risk, Quantile Regression, Lasso, Financial Markets, Risk Management, Network Dynamics, Recession

2.

Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis

The Singapore Economic Review, Forthcoming
Number of pages: 25 Posted: 23 Dec 2020 Last Revised: 27 Dec 2022
Rui Ren, Michael Althof and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 325 (144,129)
Citation 2

Abstract:

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Cryptocurrencies, Network Dynamics, Portfolio Optimization, Quantile Regression, Systemic Risk, Financial Risk Meter

3.

FRM Financial Risk Meter for Emerging Markets

Number of pages: 47 Posted: 16 Feb 2021
Souhir Ben Amor, Michael Althof and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 96 (412,877)
Citation 2

Abstract:

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FRM (Financial Risk Meter), Lasso Quantile Regression, Network Dynamics, Emerging Markets, Hierarchical Risk Parity

4.

A Financial Risk Meter for China

Number of pages: 35 Posted: 18 Nov 2021 Last Revised: 11 Sep 2022
Ruting Wang, Michael Althof and Wolfgang Karl Härdle
Sun Yat-sen University (SYSU) - Business School, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 86 (442,463)

Abstract:

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FRM (Financial Risk Meter), Lasso Quantile Regression, Financial Network, China, Shapley Value