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Single index based CoVaR with very high dimensional covariates

Wang, W., Fan, Y., Härdle, W.K. and Zhu, L. (2016). Single index based CoVaR with very high dimensional covariates. Journal of Business & Economic Statistics, doi: 10.1080/07350015.2016.1180990

Publication Type: Article
Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business & Economic Statistics on 27th April 2016, available online: http://www.tandfonline.com/10.1080/07350015.2016.1180990
Subjects: H Social Sciences > HB Economic Theory
Departments: School of Arts & Social Sciences > Economics
URI: http://openaccess.city.ac.uk/id/eprint/15148
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