We study the properties of an M-estimator arising from the minimisation of an integrated version of the quantile loss function. The estimator depends on a tuning parameter which controls the degree of robustness. We show that the sample median and the sample mean are obtained as limit cases....

We develop a semiparametric model to track a large number of quantiles of a time series. The model satisfies the condition of non crossing quantiles and the defining property of fixed quantiles. A key feature of the specification is that the updating scheme for time varying quantiles at each...

This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen, Lunde, and Nason (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of "superior" models, where the null hypothesis of Equal...

The paper focuses on the adaptation of local polynomial filters at the end of the sample period. We show that for real time estimation of signals (i.e. exactly at the boundary of the time support) we cannot rely on the automatic adaptation of the local polynomial smoothers, since the direct real...