Quantile Autoregression

DOI10.1198/016214506000000672zbMATH Open1120.62326OpenAlexW4251244897MaRDI QIDQ5755010FDOQ5755010

Publication date: 20 August 2007

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214506000000672

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (only showing first 100 items - show all)

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Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
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Weighted quantile regression for AR model with infinite variance errors
Modeling population dynamics: a quantile approach
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
Asymmetric volatility in cryptocurrencies
Testing for Granger-causality in quantiles
Testing for structural change in regression quantiles
Artifactual unit root behavior of value at risk (VaR)
Conditional quantile processes based on series or many regressors
Quantile regression for thinning-based INAR(1) models of time series of counts
Assessing DSGE model nonlinearities
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Testing for a unit root in a nonlinear quantile autoregression framework
On the quantile process based on the autoregressive residuals.
A specification test for dynamic conditional distribution models with function-valued parameters
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Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
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Bayesian copula spectral analysis for stationary time series
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The integrated copula spectrum
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Estimation and test for quantile nonlinear cointegrating regression
Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
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Specification tests of parametric dynamic conditional quantiles
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Goodness-of-fit problem for errors in nonparametric regression: distribution free approach
Quantile regression for dynamic panel data with fixed effects
Statistical inference for conditional quantiles in nonlinear time series models
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Semiparametric modeling of multiple quantiles
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
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Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
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Nonparametric tests in linear model with autoregressive errors
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Bayesian joint quantile autoregression
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On Testing Equal Conditional Predictive Ability Under Measurement Error
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Two-Sample Testing for Tail Copulas with an Application to Equity Indices
A residual bootstrap for conditional value-at-risk
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Extreme Quantile Estimation for Autoregressive Models

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