Semiparametric conditional quantile estimation through copula-based multivariate models
Year of publication: |
2015
|
---|---|
Authors: | Noh, Hohsuk ; El Ghouch, Anouar ; Van Keilegom, Ingrid |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 2, p. 167-178
|
Subject: | Check function | Dependence modeling | Markov process | Pseudo-log-likelihood | Vine copulas | Multivariate Verteilung | Multivariate distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
-
The effect of dependence on European market risk : a nonparametric time varying approach
Ascorbebeitia, Jone, (2022)
-
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk, (2016)
-
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua, (2018)
- More ...
-
Assessing model adequacy in possibly misspecified quantile regression
Noh, Hohsuk, (2013)
-
On relaxing the distributional assumption of stochastic frontier models
Noh, Hohsuk, (2019)
-
EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA
El Ghouch, Anouar, (2011)
- More ...