DMQ

Dynamic Multiple Quantile (DMQ) Model

Last update: 28 October 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.2

Description

Perform estimation, prediction, and simulations using the Dynamic Multiple Quantile model of Catania and Luati (2023) <doi:10.1016/j.jeconom.2022.11.002>. Can be used to estimate a set of conditional time-varying quantiles of a time series that do not cross.

Cites work

Semiparametric modeling of multiple quantiles

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