Network Quantile Autoregression

30 Pages Posted: 28 Apr 2018

See all articles by Xuening Zhu

Xuening Zhu

Peking University

Weining Wang

Humboldt University of Berlin

Hansheng Wang

Peking University - Guanghua School of Management

Karl Wolfgang

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE); Singapore Management University - Sim Kee Boon Institute for Financial Economics

Multiple version iconThere are 2 versions of this paper

Date Written: April 9, 2018

Abstract

The complex tail dependency structure in a dynamic network with a large number of nodes is an important object to study. Here we propose a network quantile autoregression model (NQAR), which characterizes the dynamic quantile behavior. Our NQAR model consists of a system of equations, of which we relate a response to its connected nodes and node specific characteristics in a quantile autoregression process. We show the estimation of the NQAR model and the asymptotic properties with assumptions on the network structure. For this propose we develop a network Bahadur representation that gives us direct insight into the parameter asymptotics. Moreover, innovative tail-event driven impulse functions are defined. Finally, we demonstrate the usage of our model by investigating the financial contagions in the Chinese stock market accounting for shared ownership of companies. We find higher network dependency when the market is exposed to a higher volatility level.

Keywords: Social Network; Quantile Regression; Autoregression; Systemic Risk; Financial Contagion; Shared Ownership

Suggested Citation

Zhu, Xuening and Wang, Weining and Wang, Hansheng and Wolfgang, Karl, Network Quantile Autoregression (April 9, 2018). Available at SSRN: https://ssrn.com/abstract=3159671 or http://dx.doi.org/10.2139/ssrn.3159671

Xuening Zhu (Contact Author)

Peking University ( email )

No. 38 Xueyuan Road
Haidian District
Beijing, Beijing 100871
China

Weining Wang

Humboldt University of Berlin ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

Hansheng Wang

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://hansheng.gsm.pku.edu.cn

Karl Wolfgang

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

Spandauer Strasse 1
Berlin, D-10178
Germany

Singapore Management University - Sim Kee Boon Institute for Financial Economics ( email )

90 Stamford Road, 6th Level
School of Economics
Singapore, 178903
Singapore

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