A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network

A-Tier

Journal: Journal of Business & Economic Statistics

Year: 2026

Volume: 44

Issue: 1

Pages: 162-176

Authors (3)

Zongwu Cai (not in RePEc) Xiyuan Liu (not in RePEc) Liangjun Su (Tsinghua University)

Score contribution per author:

1.345 = (α=2.02 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count