Quantile cointegrating regression
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Publication:302196
DOI10.1016/J.JECONOM.2008.12.005zbMATH Open1429.62417OpenAlexW2150198708MaRDI QIDQ302196FDOQ302196
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
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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)
Cites Work
- Regression Quantiles
- Coherent measures of risk
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- Quantile Autoregression
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
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- ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Inference on the Quantile Regression Process
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- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- A CUSUM test for cointegration using regression residuals
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- Robust Rank Tests of the Unit Root Hypothesis
- Cointegration and Dynamic Simultaneous Equations Model
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Distribution of quantiles in samples from a bivariate population
- Testing the null hypothesis of stationarity against an autoregressive unit root alternative
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- Optimal hedging using cointegration
Cited In (30)
- Title not available (Why is that?)
- Nonparametric LAD cointegrating regression
- A residual-based test for autocorrelation in quantile regression models
- A new robust inference for predictive quantile regression
- A Unified Inference for Predictive Quantile Regression
- Functional-coefficient cointegration models
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
- Local composite quantile regression smoothing for Harris recurrent Markov processes
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Nonstationary nonlinear quantile regression
- Multiple structural breaks in cointegrating regressions: a model selection approach
- A perspective on recent methods on testing predictability of asset returns
- Dynamic Network Quantile Regression Model
- HAC Covariance Matrix Estimation in Quantile Regression
- How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
- Estimation and test for quantile nonlinear cointegrating regression
- Nonparametric inference for quantile cointegrations with stationary covariates
- Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach
- Optimal smoothing in nonparametric conditional quantile derivative function estimation
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Quantile cointegration in the autoregressive distributed-lag modeling framework
- A semiparametric nonlinear quantile regression model for financial returns
- Testing cointegration in quantile regressions with an application to the term structure of interest rates
- Inference in predictive quantile regressions
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Title not available (Why is that?)
- Hidden semi-Markov-switching quantile regression for time series
- Robust inference with stochastic local unit root regressors in predictive regressions
- Robust inference in nonstationary time series models
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