Quantile Autoregression
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Publication:5755010
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Cited in
(only showing first 100 items - show all)- Quantile cointegrating regression
- Quantile forecasting and data-driven inventory management under nonstationary demand
- A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
- Dealing with Markov-switching parameters in quantile regression models
- Polynomial power-Pareto quantile function models
- Empirical likelihood for quantile autoregressive models with dependent auxiliary information
- Discriminant analysis by quantile regression with application on the climate change problem
- Conditional quantile estimation for hysteretic autoregressive models
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Specification tests of parametric dynamic conditional quantiles
- Inventory -- forecasting: mind the gap
- Long-tail longitudinal modeling of insurance company expenses
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Functional quantile autoregression
- Inference in predictive quantile regressions
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
- Selecting between causal and noncausal models with quantile autoregressions
- Goodness-of-fit problem for errors in nonparametric regression: distribution free approach
- Markov switching quantile regression models with time-varying transition probabilities
- Quantile regression for dynamic panel data with fixed effects
- A new RCAR(1) model based on explanatory variables and observations
- Bayesian weighted composite quantile regression estimation for linear regression models with autoregressive errors
- Analysis of global and local optima of regularized quantile regression in high dimensions: a subgradient approach
- scientific article; zbMATH DE number 7071613 (Why is no real title available?)
- Statistical inference for conditional quantiles in nonlinear time series models
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
- scientific article; zbMATH DE number 7448214 (Why is no real title available?)
- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- Semi-parametric modelling of temperature records
- Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
- Quantile and expectile smoothing based on L₁-norm and L₂-norm fuzzy transforms
- Inference for spatial autoregressive models with infinite variance noises
- Extremal quantile autoregression for heavy-tailed time series
- Generalized predictive information criteria for the analysis of feature events
- Exponential bounds for minimum contrast estimators
- Semiparametric modeling of multiple quantiles
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Bayesian tail risk interdependence using quantile regression
- Editorial: Quantile regression
- Edgeworth's time series model: not AR(1) but same covariance structure
- Dynamic quantile models
- QUANTILE DOUBLE AUTOREGRESSION
- Efficient estimation and variable selection for infinite variance autoregressive models
- Quantile autoregression for censored data
- Goodness-of-fit testing for copulas: a distribution-free approach
- Variable selection for quantile autoregressive model: Bayesian methods versus classical methods
- The changing dynamics of US inflation persistence: a quantile regression approach
- Quantile correlations and quantile autoregressive modeling
- Reprint: Hypothesis testing on high dimensional quantile regression
- Hypothesis testing on high dimensional quantile regression
- Quantile spectral processes: asymptotic analysis and inference
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Network quantile autoregression
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Parametric quantile autoregressive moving average models with exogenous terms
- Nonparametric tests in linear model with autoregressive errors
- Bayesian inference for quantile autoregressive model with explanatory variables
- Estimating structural changes in regression quantiles
- Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Self-weighted quantile estimation of autoregressive conditional duration model
- Asymmetric volatility in cryptocurrencies
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Modeling population dynamics: a quantile approach
- Weighted quantile regression for AR model with infinite variance errors
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Testing for structural change in regression quantiles
- Artifactual unit root behavior of value at risk (VaR)
- Testing for Granger-causality in quantiles
- Conditional quantile processes based on series or many regressors
- Dynamic cyber risk estimation with competitive quantile autoregression
- Quantile regression for thinning-based INAR(1) models of time series of counts
- Assessing DSGE model nonlinearities
- Estimation of value-at-risk using single index quantile regression
- Threshold quantile autoregressive models
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- On the quantile process based on the autoregressive residuals.
- Testing for a unit root in a nonlinear quantile autoregression framework
- Averaged Autoregression Quantiles in Autoregressive Model
- Testing for parameter stability in quantile regression models
- Comparison of value-at-risk models using the MCS approach
- Spatial quantile autoregression for season within year daily maximum temperature data
- Quantile self-exciting threshold autoregressive time series models
- A specification test for dynamic conditional distribution models with function-valued parameters
- Think again: volatility asymmetry and volatility persistence
- Multivariate quantile impulse response functions
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
- Likelihood-based quantile autoregressive distributed lag models and its applications
- Nonparametric Inference for Time-Varying Coefficient Quantile Regression
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Markov-switching quantile autoregression: a Gibbs sampling approach
- Bayesian copula spectral analysis for stationary time series
- Bayesian joint quantile autoregression
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- Nonparametric Quantile Regression for Homogeneity Pursuit in Panel Data Models
- Two-Sample Testing for Tail Copulas with an Application to Equity Indices
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