A semiparametric nonlinear quantile regression model for financial returns
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References listed on IDEAS
- V. Chernozhukov & I. Fernández-Val & A. Galichon, 2009.
"Improving point and interval estimators of monotone functions by rearrangement,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chao Wang & Richard Gerlach, 2019. "Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall," Papers 1906.09961, arXiv.org.
More about this item
Keywordscopula quantile regression; realized volatility; value-at-risk;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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