Search Results - subject:"Conditional quantile"

An integrated macro-financial risk-based approach to the stressed capital requirement

Liu, Xiaochun - In: Review of financial economics : RFE 34 (2017), pp. 86-98

Persistent link: https://www.econbiz.de/10011876797

What drives dynamic comovements of stock markets in the Pacific Basin region? : a quantile regression approach

Lee, Hyunchul; Seung Mo Cho - In: International review of economics & finance : IREF 51 (2017), pp. 314-327

Persistent link: https://www.econbiz.de/10011754455

Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors

Honda, Toshio - Institute of Economic Research, Hitotsubashi University - 2010

We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...

Persistent link: https://www.econbiz.de/10008838432

Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function

Guerre, Emmanuel; Sabbah, Camille - 2009

differentiability order of the conditional quantile function. Applications of the results deal with global optimal consistency rates of … the local polynomial quantile estimator, performance of random bandwidths and estimation of the conditional quantile … density function. The latter allows to obtain a simple estimator of the conditional quantile function of the private values in …

Persistent link: https://www.econbiz.de/10010280769