Dynamic quantile models (Q299276)

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English	Dynamic quantile models	scientific article

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scholarly article

Dynamic quantile models (English)

Journal of Econometrics

publication date

22 June 2016

zbMATH Keywords

dynamic quantile model

value-at-risk

KLIC criterion

L-moments

method of L-moments

Christian Gouriéroux

describes a project that uses

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.jeconom.2008.09.028

Differential-geometrical methods in statistics.

I-divergence geometry of probability distributions and minimization problems

Trimmed L-moments

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Efficient Derivative Pricing by the Extended Method of Moments

A nonparametric test of serial independence for time series and residuals

Tests of Conditional Predictive Ability

Local likelihood density estimation and value-at-risk

Econometric specification of stochastic discount factor models

UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support

Estimation of quantile mixtures via L-moments and trimmed L-moments

An Information-Theoretic Alternative to Generalized Method of Moments Estimation

Regression Quantiles

Inference on the Quantile Regression Process

Unit Root Quantile Autoregression Inference

Quantile Autoregression

Quasi-maximum likelihood estimation for conditional quantiles

Autoregression quantiles and related rank-scores processes

Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series

Asymptotic behavior of regression quantiles in non-stationary, dependent cases

Derivation of approximants to the inverse distribution function of a continuous univariate population from the order statistics of a sample

Maximum likelihood estimation in a class of nonregular cases

Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions

Ordering risks: expected utility theory versus Yaari's dual theory of risk

Identifiers

zbMATH Open document ID

10.1016/j.jeconom.2008.09.028

Mathematics Subject Classification ID

zbMATH DE Number

Sitelinks

Mathematics(1 entry)

mardi Publication:299276

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