Copula-Based Nonlinear Quantile Autoregression
AbstractParametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed quantile estimators are established under mild conditions, allowing for global misspecification of parametric copulas and marginals, and without assuming any mixing rate condition. These results lead to a general framework for inference and model specification testing of extreme conditional value-at-risk for financial time series data.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1679.
Length: 30 pages
Date of creation: Oct 2008
Date of revision:
Publication status: Published in Econometrics Journal (January 2009), 12(1): S50-S67
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Other versions of this item:
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Boston College Working Papers in Economics 691, Boston College Department of Economics.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-based nonlinear quantile autoregression," CeMMAP working papers CWP27/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-21 (All new papers)
- NEP-ECM-2008-10-21 (Econometrics)
- NEP-ETS-2008-10-21 (Econometric Time Series)
- NEP-ORE-2008-10-21 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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