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Cites work
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A CUSUM test for cointegration using regression residuals
- Asymptotic Properties of Residual Based Tests for Cointegration
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Coherent measures of risk
- Cointegration and Dynamic Simultaneous Equations Model
- Distribution of quantiles in samples from a bivariate population
- ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Inference on the Quantile Regression Process
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- Optimal hedging using cointegration
- Quantile Autoregression
- Regression Quantiles
- Robust Rank Tests of the Unit Root Hypothesis
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing the null hypothesis of stationarity against an autoregressive unit root alternative
Cited in
(34)- Nonparametric LAD cointegrating regression
- Robust inference with stochastic local unit root regressors in predictive regressions
- scientific article; zbMATH DE number 7448214 (Why is no real title available?)
- 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
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Nonstationary nonlinear quantile regression
- 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
- Cointegration test for linear time trend model by quantile regression
- Nonparametric inference for quantile cointegrations with stationary covariates
- Optimal smoothing in nonparametric conditional quantile derivative function estimation
- Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach
- Quantile cointegration in the autoregressive distributed-lag modeling framework
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Does quantile co-integration exist between gold spot and futures prices?
- Some thoughts on the development of cointegration
- 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
- scientific article; zbMATH DE number 7071613 (Why is no real title available?)
- Hidden semi-Markov-switching quantile regression for time series
- Quantile regression and application for a class of cointegration models
- Robust inference in nonstationary time series models
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