Nonparametric inference for conditional quantiles of time series
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Cites work
- Analysis of Financial Time Series
- Conditional empirical likelihood estimation and inference for quantile regression models
- Efficient Tests for an Autoregressive Unit Root
- Empirical likelihood
- Empirical likelihood confidence intervals for local linear smoothers
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Local Polynomial Estimation of Regression Functions for Mixing Processes
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric econometrics. Theory and practice.
- Nonparametric estimates of regression quantiles and their local Bahadur representation
- Quantile regression.
- REGRESSION QUANTILES FOR TIME SERIES
- Regression Quantiles
- Regular variation of GARCH processes.
- Smoothed empirical likelihood confidence intervals for quantiles
- Some automated methods of smoothing time-dependent data
Cited in
(18)- Time-Variant Nonparametric Extreme Quantile Estimation with Application to Us Temperature Data
- Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
- Inference of local regression in the presence of nuisance parameters
- Nonparametric estimates for conditional quantiles of time series
- Model-free inference for tail risk measures
- Simultaneous quantile inference for non-stationary long-memory time series
- Conditional time-dependent nonparametric estimators with an application to healthcare production function
- Uniform nonparametric inference for time series
- Conditional empirical, quantile and difference processes for a large class of time series with applications
- MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
- Empirical likelihood and quantile methods for time series. Efficiency, robustness, optimality, and prediction
- Fractional order statistic approximation for nonparametric conditional quantile inference
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- A direct approach to inference in nonparametric and semiparametric quantile models
- Nonparametric inference of quantile curves for nonstationary time series
- Better nonparametric confidence intervals via robust bias correction for quantile regression
- Statistical inference for conditional quantiles in nonlinear time series models
- Exact nonparametric conditional inference based on \(k\)-records, given inter-\(k\)-record times
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