Semiparametric efficiency bound in time-series models for conditional quantiles
DOI10.1017/S0266466609100038zbMATH Open1185.62156OpenAlexW1978346741MaRDI QIDQ3557546FDOQ3557546
Authors: Ivana Komunjer, Quang Vuong 
Publication date: 23 April 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609100038
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Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Efficient estimation in the bivariate normal copula model: Normal margins are least favourable
- Quasi-maximum likelihood estimation for conditional quantiles
- Pseudo Maximum Likelihood Methods: Theory
- Profile likelihood and conditionally parametric models
- Information and asymptotic efficiency in parametric-nonparametric models
- On adaptive estimation
- Exogeneity
- On Profile Likelihood
- Adaptive estimation in time-series models
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- On estimation and adaptive estimation for locally asymptotically normal families
- On adaptive estimation in stationary ARMA processes
- Sample heterogeneity and M-estimation
Cited In (15)
- On the asymptotic efficiency of GMM
- Conditional empirical likelihood estimation and inference for quantile regression models
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Testing linearity against threshold effects: uniform inference in quantile regression
- Semiparametric Estimator of Time Series Conditional Variance
- Statistically efficient construction of \(a\)-risk-minimizing portfolio
- Efficient estimation in dynamic conditional quantile models
- Semiparametric efficiency for partially linear single-index regression models
- Semiparametric efficiency bounds in dynamic non‐linear systems under elliptical symmetry
- A joint quantile and expected shortfall regression framework
- On the recoverability of forecasters' preferences
- Sequential testing for elicitable functionals via supermartingales
- Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
- Quantile-regression inference with adaptive control of size
- Estimating value-at-risk and expected shortfall using the intraday low and range data
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