Quasi-maximum likelihood estimation for conditional quantiles

DOI10.1016/j.jeconom.2004.08.010zbMath1337.62235MaRDI QIDQ265018

Ivana Komunjer

Publication date: 1 April 2016

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

Full work available at URL: https://authors.library.caltech.edu/79780/

zbMATH Keywords

asymptotic distribution; misspecification; conditional quantiles; minimax representation; QMLE; tick-exponential family

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

62M09: Non-Markovian processes: estimation

62J02: General nonlinear regression

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Uses Software

• CAViaR

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