Michael Althof

Humboldt University of Berlin - Institute for Statistics and Econometrics

Spandauer Str. 1

Berlin, D-10178

Germany

http://irtg1792.hu-berlin.de

SCHOLARLY PAPERS

4

DOWNLOADS

1,222

SSRN CITATIONS

12

CROSSREF CITATIONS

2

Ideas:
“  Vector Quantile Regression  ”

Scholarly Papers (4)

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
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 Humboldt-Universität zu Berlin
Downloads 476 (113,792)
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 Humboldt-Universität zu Berlin
Downloads 405 (137,466)
Citation 4

Abstract:

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

3.

A Financial Risk Meter for China

Number of pages: 38 Posted: 18 Nov 2021 Last Revised: 07 May 2023
Ruting Wang, Michael Althof and Wolfgang Karl Härdle
Sun Yat-sen University (SYSU) - School of Business, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 182 (307,807)

Abstract:

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

4.

FRM Financial Risk Meter for Emerging Markets

Number of pages: 47 Posted: 16 Feb 2021
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 159 (346,044)
Citation 4

Abstract:

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