NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES
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Publication:5403107
DOI10.1017/S0266466612000667zbMath1283.62099OpenAlexW3124512484MaRDI QIDQ5403107
Publication date: 25 March 2014
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466612000667
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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A direct approach to inference in nonparametric and semiparametric quantile models ⋮ Inference of local regression in the presence of nuisance parameters ⋮ MODEL-FREE INFERENCE FOR TAIL RISK MEASURES
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