Specification tests of parametric dynamic conditional quantiles (Q736700)
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scientific article; zbMATH DE number 6609330
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| English | Specification tests of parametric dynamic conditional quantiles |
scientific article; zbMATH DE number 6609330 |
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Specification tests of parametric dynamic conditional quantiles (English)
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4 August 2016
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omnibus tests
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conditional quantiles
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nonlinear time series
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empirical processes
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quantile processes
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subsampling
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value-at-risk
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tail risk
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0.9494659
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0.92023236
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0.8917159
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0.8867246
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0.88334453
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0.87936336
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0.8778985
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0.87315595
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