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Quantile Correlations and Quantile Autoregressive Modeling
Li, Guodong; Li, Yang; Tsai, Chih-Ling - 2012
In this paper, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models, and introduce two valuable quantities, the quantile autocorrelation function (QACF) and the quantile partial...
Persistent link: https://www.econbiz.de/10014165231
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Markov-switching model selection using Kulklback-Leibler divergence
Smith, Aaron D. (contributor); Naik, Prasad A. (contributor) - 2005
Persistent link: https://www.econbiz.de/10003729998
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Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227
Persistent link: https://www.econbiz.de/10012179549