Efficient estimation in dynamic conditional quantile models (Q736520)

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Efficient estimation in dynamic conditional quantile models
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    title
    Efficient estimation in dynamic conditional quantile models (English)
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    author
    Ivana Komunjer
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    Quang H. Vuong
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    publication date
    4 August 2016
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    Mathematics Subject Classification ID
    62G05
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    62F12
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    62M10
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    62G20
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    62P20
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    zbMATH DE Number
    6609149
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    zbMATH Keywords
    semiparametric efficiency
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    time series models
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    dependence
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    conditional quantiles
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