Forecasting high-dimensional non-normal time series using averaged quantile regression

DOI10.1515/JTSE-2024-0014MaRDI QIDQ6854942zbMATH OpenFDO

Authors Tae-Yeon Kim, Hee-Seok Oh, Yaeji Lim

Publication date 23 February 2026

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/JTSE-2024-0014

zbMATH Keywords

forecastingeconomic dataapproximate dynamic factor modelaveraged quantile regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• Combining regression quantile estimators
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Forecasting Using Principal Components From a Large Number of Predictors
• Quantile factor models
• Quantile regression for longitudinal data using the asymmetric Laplace distribution
• Real‐Time Forecasts of Inflation: The Role of Financial Variables
• Regression Quantiles

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