Quantile Autoregression
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Publication:5755010
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Cited in
(only showing first 100 items - show all)- Goodness-of-fit problem for errors in nonparametric regression: distribution free approach
- On the quantile process based on the autoregressive residuals.
- Asymmetric volatility in cryptocurrencies
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Assessing DSGE model nonlinearities
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Estimation and test for quantile nonlinear cointegrating regression
- Bayesian copula spectral analysis for stationary time series
- Generalized predictive information criteria for the analysis of feature events
- Exponential bounds for minimum contrast estimators
- Inference for spatial autoregressive models with infinite variance noises
- Quantile regression for thinning-based INAR(1) models of time series of counts
- Inventory -- forecasting: mind the gap
- On a quantile autoregressive conditional duration model
- Markov switching quantile regression models with time-varying transition probabilities
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- The integrated copula spectrum
- Self-weighted quantile estimation of autoregressive conditional duration model
- Dynamic cyber risk estimation with competitive quantile autoregression
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Nonparametric inference for quantile cointegrations with stationary covariates
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Goodness-of-fit testing for copulas: a distribution-free approach
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Quantile forecasting and data-driven inventory management under nonstationary demand
- Network quantile autoregression
- Quantile and expectile smoothing based on L₁-norm and L₂-norm fuzzy transforms
- Editorial: Quantile regression
- Conditional quantile processes based on series or many regressors
- Edgeworth's time series model: not AR(1) but same covariance structure
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Modeling population dynamics: a quantile approach
- Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
- Reduced form vector directional quantiles
- Discriminant analysis by quantile regression with application on the climate change problem
- Efficient estimation and variable selection for infinite variance autoregressive models
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
- Extremal quantile autoregression for heavy-tailed time series
- Risk factor extraction with quantile regression method
- The changing dynamics of US inflation persistence: a quantile regression approach
- Markov-switching quantile autoregression: a Gibbs sampling approach
- Think again: volatility asymmetry and volatility persistence
- Selecting between causal and noncausal models with quantile autoregressions
- Bayesian tail risk interdependence using quantile regression
- Estimation of non-crossing quantile regression curves
- A quantile regression model for time-series data in the presence of additive components
- Quantile autoregression for censored data
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Quantile spectral processes: asymptotic analysis and inference
- Testing for structural change in regression quantiles
- Artifactual unit root behavior of value at risk (VaR)
- Dynamic quantile models
- Quantile cointegrating regression
- Weighted quantile regression for AR model with infinite variance errors
- scientific article; zbMATH DE number 7448214 (Why is no real title available?)
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Quantile self-exciting threshold autoregressive time series models
- Risk-parameter estimation in volatility models
- Variable selection in quantile regression when the models have autoregressive errors
- Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Threshold quantile autoregressive models
- Right-tail information in financial markets
- How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
- Estimation of value-at-risk using single index quantile regression
- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- Likelihood-based quantile autoregressive distributed lag models and its applications
- Dealing with Markov-switching parameters in quantile regression models
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- QUANTILE DOUBLE AUTOREGRESSION
- Conditional quantile estimation for hysteretic autoregressive models
- Semi-parametric modelling of temperature records
- Averaged Autoregression Quantiles in Autoregressive Model
- Empirical likelihood for quantile autoregressive models with dependent auxiliary information
- Multivariate quantile impulse response functions
- Quantile correlations and quantile autoregressive modeling
- scientific article; zbMATH DE number 7071613 (Why is no real title available?)
- A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
- The transmission mechanism in good and bad times
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- A specification test for dynamic conditional distribution models with function-valued parameters
- Testing for Granger-causality in quantiles
- Testing for a unit root in a nonlinear quantile autoregression framework
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Markov switching quantile autoregression
- Semiparametric modeling of multiple quantiles
- Bayesian inference for quantile autoregressive model with explanatory variables
- A copula spectral test for pairwise time reversibility
- Reprint: Hypothesis testing on high dimensional quantile regression
- Hypothesis testing on high dimensional quantile regression
- Nonparametric tests in linear model with autoregressive errors
- Spatial quantile autoregression for season within year daily maximum temperature data
- 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
- A residual bootstrap for conditional value-at-risk
- A joint quantile and expected shortfall regression framework
- Bayesian joint quantile autoregression
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