Quantile cointegrating regression
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Publication:302196
DOI10.1016/j.jeconom.2008.12.005zbMath1429.62417OpenAlexW2150198708MaRDI QIDQ302196
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://fmwww.bc.edu/EC-P/wp708.pdf
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Uses Software
Cites Work
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- Regression Quantiles
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- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Inference on the Quantile Regression Process
- Quantile Autoregression
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