SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES
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Publication:3557546
DOI10.1017/S0266466609100038zbMath1185.62156MaRDI QIDQ3557546
Ivana Komunjer, Quang H. Vuong
Publication date: 23 April 2010
Published in: Econometric Theory (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G05: Nonparametric estimation
62F10: Point estimation
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