Semiparametric efficiency bound in time-series models for conditional quantiles
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Publication:3557546
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Cites work
- Adaptive estimation in time-series models
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- Efficient estimation in the bivariate normal copula model: Normal margins are least favourable
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Exogeneity
- Information and asymptotic efficiency in parametric-nonparametric models
- On adaptive estimation
- On adaptive estimation in stationary ARMA processes
- On estimation and adaptive estimation for locally asymptotically normal families
- On Profile Likelihood
- Profile likelihood and conditionally parametric models
- Pseudo Maximum Likelihood Methods: Theory
- Quasi-maximum likelihood estimation for conditional quantiles
- Sample heterogeneity and M-estimation
Cited in
(18)- Semiparametric efficiency for partially linear single-index regression models
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- On the recoverability of forecasters' preferences
- On the asymptotic efficiency of GMM
- Conditional empirical likelihood estimation and inference for quantile regression models
- Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
- Semiparametric Estimator of Time Series Conditional Variance
- Semiparametric efficiency bounds in dynamic non‐linear systems under elliptical symmetry
- Statistically efficient construction of \(a\)-risk-minimizing portfolio
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Quantile-regression inference with adaptive control of size
- Sequential testing for elicitable functionals via supermartingales
- A joint quantile and expected shortfall regression framework
- Inference on model parameters with many L-moments
- Prediction of random variables by excursion metric projections
- Improved estimation of dynamic models of conditional means and variances
- Efficient estimation in dynamic conditional quantile models
- Testing linearity against threshold effects: uniform inference in quantile regression
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