This chapter is concerned with the problem of quantile prediction (or forecasting). There are numerous applications in economics and finance where quantiles are of interest. We primarily focus on methods that are relevant for dynamic time series data. The chapter is organized around two key...

This paper derives necessary and sufficient conditions for nonparametric transformation models to be (i) correctly speci fied, and (ii) identi fied. Our correct speci fication conditions come in a form of partial diff erential equations; when satis fied by the true distribution, they ensure that...