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

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+Modeling and Forecasting Realized Volatility
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+Q5523797
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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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+Nonlinear impulse response functions
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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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