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TommasoBelluzzo / SystemicRisk

A framework for financial systemic risk valuation and analysis.
Apache License 2.0
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Question about CoVaR computation #19

Closed Liyang-Guo closed 2 years ago

Liyang-Guo commented 2 years ago

Hi Tommaso,

Thanks for the amazing works, the toolbox is quite useful！ And I‘m really confused about the output of CROSS-SECTIONAL MEASURES. CoVaR computation requires the coefficients estimates through quantile regression, b = quantile_regression(y,x,a), how to get the estimation results of the coefficient "b"?

Best regards, Guo

TommasoBelluzzo commented 2 years ago

Hi @Liyang-Guo, sorry for the belated reply. Please, take a look at: https://github.com/TommasoBelluzzo/SystemicRisk/blob/013aa57eecb902638814810570f86a8e51833d70/ScriptsModels/cross_sectional_metrics.m#L140