Quasi-maximum likelihood estimation for conditional quantiles

DOI10.1016/J.JECONOM.2004.08.010zbMath1337.62235OpenAlexW2131374304MaRDI QIDQ265018

Ivana Komunjer

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://authors.library.caltech.edu/79780/

zbMATH Keywords

asymptotic distributionmisspecificationconditional quantilesminimax representationQMLEtick-exponential family

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) General nonlinear regression (62J02)

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Uses Software

• CAViaR

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