演講者簡介 : Professor Hardle received his Ph.D. in Economics from Heidelberg University at 1982. He is currently a Professor at Humboldt-Universität zu Berlin. His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics.
演講摘要 : We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a single-index model for a generalized quantile regression framework. We can thus include more financial institutions into the analysis, to measure their interdependencies in tails and, at the same time, to take into account non-linear relationships between them. A empirical application on a set of 200 publicly traded U. S. financial institutions provides useful rankings of systemic exposure and systemic contribution at various stages of financial crisis. Network analysis, its behaviour and dynamics, allows us to characterize a role of each sector in the financial crisis and yields a new perspective of the financial markets at the U. S. financial market 2007 - 2012.
