Dynamic quantile models
From MaRDI portal
Publication:299276
DOI10.1016/j.jeconom.2008.09.028zbMath1429.62396MaRDI QIDQ299276
Joanna Jasiak, Christian Gouriéroux
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.028
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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Uses Software
Cites Work
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