Copula-based nonlinear quantile autoregression
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Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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(39)- Efficient estimation of copula-based semiparametric Markov models
- D-vine copula based quantile regression
- Semi-parametric copula-based models under non-stationarity
- Dependence properties of conditional distributions of some copula models
- Estimation and test for quantile nonlinear cointegrating regression
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- Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies
- Quantile forecasting and data-driven inventory management under nonstationary demand
- Modelling and estimation of nonlinear quantile regression with clustered data
- Computation and application of copula-based weighted average quantile regression
- Nonparametric C- and D-vine-based quantile regression
- Measurement of risk based on QR-GARCH-EVT model
- A semiparametric nonlinear quantile regression model for financial returns
- Vector copulas
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- A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
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- High-Dimensional Spatial Quantile Function-on-Scalar Regression
- Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
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- Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
- Extreme Quantile Estimation for Autoregressive Models
- Inference in predictive quantile regressions
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- Statistical inference for conditional quantiles in nonlinear time series models
- Quantile regression for mixed models with an application to examine blood pressure trends in China
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