Nonparametric estimates for conditional quantiles of time series
Year of publication: |
2014
|
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Authors: | Franke, Jürgen ; Mwita, Peter ; Wang, Weining |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Conditional quantile | kernel estimate | quantile autoregression | time series | uniform consistency | value-at-risk |
Series: | SFB 649 Discussion Paper ; 2014-012 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 777845997 [GVK] hdl:10419/93220 [Handle] RePEc:hum:wpaper:sfb649dp2014-012 [RePEc] |
Classification: | C00 - Mathematical and Quantitative Methods. General ; C14 - Semiparametric and Nonparametric Methods ; C50 - Econometric Modeling. General ; c58 |
Source: |
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