Bayesian causal effects in quantiles: accounting for heteroscedasticity

DOI10.1016/J.CSDA.2008.12.014zbMATH Open1453.62065OpenAlexW2038693653MaRDI QIDQ961391FDOQ961391

Authors: Cathy W. S. Chen, Richard Gerlach, D. C. M. Wei 

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.12.014

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Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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• Rejoinder: ``Objections to Bayesian statistics

Cited In (12)

• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
• Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Title not available (Why is that?)
• Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis
• Volatility modeling with leverage effect under Laplace errors
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• An efficient algorithm for structured sparse quantile regression
• Smooth transition quantile capital asset pricing models with heteroscedasticity
• A generalized class of skew distributions and associated robust quantile regression models
• Shrinkage Bayesian Causal Forests for Heterogeneous Treatment Effects Estimation
• Statistical inference for conditional quantiles in nonlinear time series models

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