Localizing multivariate CAViaR

Cites work

Adaptive dynamic Nelson-Siegel term structure model with applications
Basic properties of strong mixing conditions. A survey and some open questions
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Estimation of a function with discontinuities via local polynomial fit with an adaptive window choice
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scientific article; zbMATH DE number 1104922 (Why is no real title available?)
Localized realized volatility modeling
Mathematical statistics with resampling and R
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Multiscale change point detection
Multiscale local change point detection with applications to value-at-risk
On the bootstrap and confidence intervals
On the Failure of the Bootstrap for Matching Estimators
Penalized maximum likelihood estimation and effective dimension
Quantile Autoregression
Strong mixing properties of linear stochastic processes
Tests for Parameter Instability and Structural Change With Unknown Change Point
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Uniform change point tests in high dimension
VAR for VaR: measuring tail dependence using multivariate regression quantiles

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