A comparative study of monotone quantile regression methods for financial returns

DOI10.1142/S0219024916500163zbMATH Open1337.62319OpenAlexW2328874041MaRDI QIDQ2806360FDOQ2806360

Authors: Yuzhi Cai 

Publication date: 17 May 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500163

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zbMATH Keywords

quantile regressionfinancial returnsnoncrossing quantiles

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Quantile regression.
• Non-Crossing Non-Parametric Estimates of Quantile Curves

Cited In (1)

• A semiparametric nonlinear quantile regression model for financial returns

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