Functional quantile autoregression

DOI10.1016/J.JECONOM.2024.105765MaRDI QIDQ6664651zbMATH OpenFDO

Authors Chaohua Dong, Rong Chen, Zhijie Xiao, Weiyi Liu

Publication date 16 January 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105765

zbMATH Keywords

distributional dynamicsfunctional dependenceGARCHquantile autoregressionsieve estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(1)

• A simple quantile regression model linking micro outcomes to macro covariates

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