Search Results - subject:"Conditional quantiles"

Granger-causality in quantiles between financial markets: Using copula approach

Lee, Tae-Hwy; Yang, Weiping - In: International Review of Financial Analysis 33 (2014) C, pp. 70-78

markets where the dependent (conditional) copula is found, we invert the conditional copula to obtain the conditional … quantiles. Dependence between returns of two financial markets is modeled using a parametric copula. Different copula functions …

Persistent link: https://www.econbiz.de/10010786513

Asymptotic behavior of central order statistics from stationary processes

Dembińska, Anna - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 348-372

In this paper, we show that central order statistics from strictly stationary and ergodic sequences are strongly consistent estimators of population quantiles provided that the quantiles are unique. We generalize this result to strictly stationary but not necessarily ergodic sequences. We also...

Persistent link: https://www.econbiz.de/10011064987

Efficientt Conditional Quantile Estimation: The Time Series Case

Komunjer, Ivana; Vuong, Quang - Department of Economics, University of California-San … - 2006

first result is to derive the semiparametric efficiency bound in time series models of conditional quantiles; this is a …

Persistent link: https://www.econbiz.de/10010536424

Chapter 17. Quantile Prediction

Komunjer, Ivana - In: Handbook of economic forecasting : Volume 2, Part B, (pp. 961-994). 2013

data. The chapter is organized around two key questions: first, how to measure and forecast the conditional quantiles of …

Persistent link: https://www.econbiz.de/10014025231

Assessing model adequacy in possibly misspecified quantile regression

Noh, Hohsuk; El Ghouch, Anouar; Van Keilegom, Ingrid - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 558-569

Possibly misspecified linear quantile regression models are considered. A measure for assessing the combined effect of several covariates on a certain conditional quantile function is proposed. The measure is based on an adaptation to quantile regression of the famous coefficient of...

Persistent link: https://www.econbiz.de/10010580842

Measuring comovements by regression quantiles

Cappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone - European Central Bank - 2005

variable xt is also lower than its corresponding quantile, for any set of prespecified quantiles. Time-varying conditional … quantiles are modeled via regression quantiles. The conditional probability is estimated through a simple OLS regression. We …

Persistent link: https://www.econbiz.de/10005162872

Measuring comovements by regression quantiles

Cappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone - 2005

Persistent link: https://www.econbiz.de/10011604547

Set identification via quantile restrictions in short panels

Rosen, Adam M. - In: Journal of Econometrics 166 (2012) 1, pp. 127-137

This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation...

Persistent link: https://www.econbiz.de/10010597565

Kernel estimators of extreme level curves

Daouia, Abdelaati; Gardes, Laurent; Girard, Stéphane; … - In: TEST: An Official Journal of the Spanish Society of … 20 (2011) 2, pp. 311-333

Persistent link: https://www.econbiz.de/10009324912

Estimation of additive quantile regression

Dette, Holger; Scheder, Regine - In: Annals of the Institute of Statistical Mathematics 63 (2011) 2, pp. 245-265

Persistent link: https://www.econbiz.de/10008925564