VAR for VaR: measuring tail dependence using multivariate regression quantiles (Q494385): Difference between revisions

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-Halbert White
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+https://doi.org/10.1016/j.jeconom.2015.02.004
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+Modeling and Forecasting Realized Volatility
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+Extremal quantile regression
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+Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
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+Quantile and Probability Curves Without Crossing
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+Exogeneity
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+Nonlinear Dynamic Structures
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+Quantile regression for dynamic panel data with fixed effects
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+EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION
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+Regression Quantiles
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+Unit Root Quantile Autoregression Inference
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+Quantile Autoregression
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+Quasi-maximum likelihood estimation for conditional quantiles
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+SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES
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+Efficient estimation in dynamic conditional quantile models
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+Robust penalized quantile regression estimation for panel data
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+Nonparametric regression under qualitative smoothness assumptions
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+Least absolute deviations estimation for the censored regression model
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+CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS  PRESENT ONLY UNDER THE ALTERNATIVE
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+Quantile cointegrating regression
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+Publication:494385