Dynamic quantile models
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Publication:299276
DOI10.1016/J.JECONOM.2008.09.028zbMATH Open1429.62396OpenAlexW2017044442MaRDI QIDQ299276FDOQ299276
Authors: Christian Gouriéroux, J. Jasiak 
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (19)
- Semiparametric modeling of multiple quantiles
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Bayesian tail risk interdependence using quantile regression
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Stochastic evolution of distributions and functional Bollinger bands
- Dynamic Quantile Models of Rational Behavior
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Conditional quantiles and tail dependence
- Local likelihood density estimation and value-at-risk
- A new robust risk measure: quantile shortfall
- Bayesian causal effects in quantiles: accounting for heteroscedasticity
- A new model selection procedure based on dynamic quantile regression
- Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
- An elastic-net penalized expectile regression with applications
- Inference in predictive quantile regressions
- Comparison of estimation methods for the Weibull distribution
- High frequency-based quantile forecast and combination: an application to oil market
- Dynamic Modeling of Conditional Quantile Trajectories, With Application to Longitudinal Snippet Data
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