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

2

DOWNLOADS

231

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Ideas:
“  Vector Quantile Regression  ”

Scholarly Papers (2)

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
Downloads 191 (181,942)
Citation 1

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

Number of pages: 24 Posted: 23 Dec 2020
Rui Ren, Michael Althof and Wolfgang K. Härdle
Humboldt University of Berlin - School of Business and Economics, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 40 (491,449)

Abstract:

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