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~subject:"Qualitative Threshold Model"
~subject:"Schätztheorie"
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Qualitative Threshold Model
Schätztheorie
Value at Risk
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qualitative threshold model
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Börsenkurs
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Conditional Quantile
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Maßzahl
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Neural Network
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Sieve Estimate
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buy/sell information
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Franke, Jürgen
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Quantile sieve estimates for time series
Franke, Jürgen
;
Stockis, Jean-Pierre
;
Tadjuidje, Joseph
-
2007
We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...
Persistent link: https://www.econbiz.de/10010263674
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Quantile Sieve Estimates For Time Series
Franke, Jürgen
;
Stockis, Jean-Pierre
;
Tadjuidje, Joseph
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2007
. Key words and phrases. conditionalquantile, time series, sieve estimate, neuralnetwork,
qualitative
threshold
model
…
Persistent link: https://www.econbiz.de/10005652729
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