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 provides a necessary and sufficient condition for asymptotic efficiency of a nonparametric estimator of the generalized autocovariance function of a stationary random process. The generalized autocovariance function is the inverse Fourier transform of a power transformation of the...