Xiaohong Chen (Institute for Fiscal Studies and Yale) Roger Koenker () (Institute for Fiscal Studies and University of Illinois) Zhijie Xiao
Abstract
Parametric 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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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number
CWP27/08.
Length: Date of creation: Oct 2008 Date of revision: Handle: RePEc:ifs:cemmap:27/08
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Andrew J. Patton, 2006.
"Modelling Asymmetric Exchange Rate Dependence,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, 05.
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