/Quantile-Regression

Reproduction of research paper and find an extention

Primary LanguageMATLAB

Quantile-Regression

Objective : Reproduction of Research Paper and find an extention

Paper : " Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach " by Linh Hoang Nguyena, Thanaset Chevapatrakulb, Kai Yao

Link : https://dora.dmu.ac.uk/bitstream/handle/2086/20006/Cryptos%20&%20LASSO%20QR%20[June%202020]_LN_TC.pdf?sequence=1

-Studying the connectivity of extreme risk in the crypto-currency markets

-Identify the main drivers and receivers of the network

-Portfolio analysis: equiponded vs mean-CVaR

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