In this paper, we develop a reduced form multivariate quantile model, using a directional quantile framework. The proposed model is the solution to a collection of directional quantile models for a fixed orthonormal basis, ...

A reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects of macroeconomic shocks. This framework is used for forecasting and for constructing quantile impulse response ...

In the present paper, a novel spatial quantile regression model based on the Birnbaum-Saunders distribution is formulated. This distribution has been widely studied and applied in many fields. To formulate such a spatial ...

Middle class studies have gained relevance in the economic literature. Nevertheless, a profound lack of agreement on conceptual and methodological issues for its identification remains. Furthermore, it has mostly relied ...

In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include ...

In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability alpha, the 100 alpha% ...

Este trabajo implementa modelos econométricos de cuantiles multivariados para evaluar la heterogeneidad del pass-through del tipo de cambio a precios y producto en la Argentina 2004-2018. El nuevo análisis revela heterogeneidad ...