Constructing Density Forecasts from Quantile Regressions
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 44 (2012)
Issue (Month): 8 (December)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
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- Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
- Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014.
"Stress-testing US bank holding companies: A dynamic panel quantile regression approach,"
International Journal of Forecasting,
Elsevier, vol. 30(3), pages 691-713.
- Francisco B. Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
- Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
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