Quasi-maximum likelihood estimation for conditional quantiles
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Publication:265018
DOI10.1016/J.JECONOM.2004.08.010zbMATH Open1337.62235OpenAlexW2131374304MaRDI QIDQ265018FDOQ265018
Authors: 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/
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asymptotic distributionmisspecificationconditional quantilesminimax representationQMLEtick-exponential family
Nonparametric estimation (62G05) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)
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Cited In (44)
- Semiparametric efficiency bound in time-series models for conditional quantiles
- Quantile selection in non-linear GMM quantile models
- Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
- Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
- A residual-based test for autocorrelation in quantile regression models
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Conditional empirical likelihood estimation and inference for quantile regression models
- Semiparametric modeling of multiple quantiles
- Dynamic quantile models
- Conjugate priors and variable selection for Bayesian quantile regression
- Comparing Possibly Misspecified Forecasts
- Quasi-independence models with rational maximum likelihood estimator
- Moderate deviations for quantile regression processes
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- The second-order bias of quantile estimators
- Cross-validating fit and predictive accuracy of nonlinear quantile regressions
- Bagging binary and quantile predictors for time series
- Model selection in quantile regression models
- Estimating conditional quantiles with the help of the pinball loss
- Efficient estimation in dynamic conditional quantile models
- ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
- Variable selection in quantile regression via Gibbs sampling
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression
- Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
- Discussion of ``Local quantile regression
- Model selection in binary and Tobit quantile regression using the Gibbs sampler
- Title not available (Why is that?)
- Asset Pricing via the Conditional Quantile Variational Autoencoder
- Bayesian model selection in ordinal quantile regression
- Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
- A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
- Quasi-likelihood estimation of the single index conditional variance model
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers
- Density forecast of financial returns using decomposition and maximum entropy
- On some models for value-at-risk
- Linear quantile regression based on EM algorithm
- Dealing with Markov-switching parameters in quantile regression models
- Estimating dynamic copula dependence using intraday data
- Specification tests of parametric dynamic conditional quantiles
- Quantile Methods for Stochastic Frontier Analysis
- Distribution of logit-type link function in a generalized quantilebased asymmetric distributional setting
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
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