Semiparametric modeling of multiple quantiles

DOI10.1016/j.jeconom.2022.11.002OpenAlexW4311499705MaRDI QIDQ6090581

Leopoldo Catania, Alessandra Luati

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.11.002

zbMATH Keywords

risk managementdynamic quantilesscore driven models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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