A comparative study of monotone quantile regression methods for financial returns

DOI10.1142/S0219024916500163MaRDI QIDQ2806360zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

financial returnsnoncrossing quantilesquantile regression

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

Cited in

(1)

• A semiparametric nonlinear quantile regression model for financial returns

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