Extremal quantile autoregression for heavy-tailed time series
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2022.107563
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- He, Fengyang & Cheng, Yebin & Tong, Tiejun, 2016. "Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 30-37.
- Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
- Huixia Judy Wang & Deyuan Li & Xuming He, 2012. "Estimation of High Conditional Quantiles for Heavy-Tailed Distributions," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(500), pages 1453-1464, December.
- Victor Chernozhukov & Iván Fernández-Val, 2011.
"Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 559-589.
- Victor Chernozhukov & Ivan Fernandez-Val, 2009. "Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks," Papers 0912.5013, arXiv.org.
- Victor Chernozhukov & Ivan Fernandez-Val, 2011. "Inference for extremal conditional quantile models, with an application to market and birthweight risks," CeMMAP working papers CWP40/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Abdelaati Daouia & Laurent Gardes & Stéphane Girard & Alexandre Lekina, 2011. "Kernel estimators of extreme level curves," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 311-333, August.
- Koul, H. L. & Mukherjee, K., 1994. "Regression Quantiles and Related Processes Under Long Range Dependent Errors," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 318-337, November.
- Huixia Judy Wang & Deyuan Li, 2013. "Estimation of Extreme Conditional Quantiles Through Power Transformation," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 1062-1074, September.
- Marc Hallin & Jana Jureckova, 1999. "Optimal tests for autoregressive models based on autoregression rank scores," ULB Institutional Repository 2013/2089, ULB -- Universite Libre de Bruxelles.
- Victor Chernozhukov, 2005. "Extremal quantile regression," Papers math/0505639, arXiv.org.
- Wang, Hansheng & Tsai, Chih-Ling, 2009. "Tail Index Regression," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1233-1240.
- M. N. Hasan & R. W. Koenker, 1997. "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 65(1), pages 133-162, January.
- Deyuan Li & Huixia Judy Wang, 2019. "Extreme Quantile Estimation for Autoregressive Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 661-670, October.
- Daouia, Abdelaati & Gardes, Laurent & Girard, Stephane, 2011.
"On kernel smoothing for extremal quantile regression,"
LIDAM Discussion Papers ISBA
2011031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Daouia, Abdelaati & Gardes, Laurent & Girard, Stephane, 2013. "On kernel smoothing for extremal quantile regression," LIDAM Reprints ISBA 2013038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Takuma Yoshida, 2021. "Additive models for extremal quantile regression with Pareto-type distributions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(1), pages 103-134, March.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022.
"Inference for extremal regression with dependent heavy-tailed data,"
TSE Working Papers
22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
- Abdelaati Daouia & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2023. "Inference for extremal regression with dependent heavy-tailed data," Post-Print hal-04554050, HAL.
- Daisuke Kurisu & Taisuke Otsu, 2021. "Nonparametric inference for extremal conditional quantiles," STICERD - Econometrics Paper Series 616, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hou, Yanxi & Leng, Xuan & Peng, Liang & Zhou, Yinggang, 2024. "Panel quantile regression for extreme risk," Journal of Econometrics, Elsevier, vol. 240(1).
- Yuya Sasaki & Yulong Wang, 2022.
"Fixed-k Inference for Conditional Extremal Quantiles,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 829-837, April.
- Yuya Sasaki & Yulong Wang, 2019. "Fixed-k Inference for Conditional Extremal Quantiles," Papers 1909.00294, arXiv.org, revised Jul 2020.
- Firpo, Sergio & Galvao, Antonio F. & Pinto, Cristine & Poirier, Alexandre & Sanroman, Graciela, 2022. "GMM quantile regression," Journal of Econometrics, Elsevier, vol. 230(2), pages 432-452.
- Goedele Dierckx & Yuri Goegebeur & Armelle Guillou, 2014. "Local robust and asymptotically unbiased estimation of conditional Pareto-type tails," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 330-355, June.
- Kurisu, Daisuke & Otsu, Taisuke, 2023. "Subsampling inference for nonparametric extremal conditional quantiles," LSE Research Online Documents on Economics 120365, London School of Economics and Political Science, LSE Library.
- Goedele Dierckx & Yuri Goegebeur & Armelle Guillou, 2021. "Local Robust Estimation of Pareto-Type Tails with Random Right Censoring," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 70-108, February.
- Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
- Yaolan Ma & Bo Wei & Wei Huang, 2020. "A nonparametric estimator for the conditional tail index of Pareto-type distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(1), pages 17-44, January.
- John H. J. Einmahl & Fan Yang & Chen Zhou, 2021.
"Testing the Multivariate Regular Variation Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 907-919, October.
- Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Discussion Paper 2018-044, Tilburg University, Center for Economic Research.
- Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Other publications TiSEM dd3c4dd0-7181-40f3-af44-f, Tilburg University, School of Economics and Management.
- Norman Maswanganyi & Caston Sigauke & Edmore Ranganai, 2021. "Prediction of Extreme Conditional Quantiles of Electricity Demand: An Application Using South African Data," Energies, MDPI, vol. 14(20), pages 1-21, October.
- Chen, Zhao & Cheng, Vivian Xinyi & Liu, Xu, 2024. "Reprint: Hypothesis testing on high dimensional quantile regression," Journal of Econometrics, Elsevier, vol. 239(2).
- He, Fengyang & Cheng, Yebin & Tong, Tiejun, 2016. "Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 30-37.
- Maria Marino & Alessio Farcomeni, 2015. "Linear quantile regression models for longitudinal experiments: an overview," METRON, Springer;Sapienza Università di Roma, vol. 73(2), pages 229-247, August.
- Sulkhan Chavleishvili & Simone Manganelli, 2024.
"Forecasting and stress testing with quantile vector autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
- Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
- Sottile, Gianluca & Frumento, Paolo, 2022. "Robust estimation and regression with parametric quantile functions," Computational Statistics & Data Analysis, Elsevier, vol. 171(C).
- Bousebata, Meryem & Enjolras, Geoffroy & Girard, Stéphane, 2023. "Extreme partial least-squares," Journal of Multivariate Analysis, Elsevier, vol. 194(C).
- Victor Chernozhukov & Iván Fernández-Val & Blaise Melly, 2022.
"Fast algorithms for the quantile regression process,"
Empirical Economics, Springer, vol. 62(1), pages 7-33, January.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Blaise Melly, 2019. "Fast Algorithms for the Quantile Regression Process," Papers 1909.05782, arXiv.org, revised Apr 2020.
More about this item
Keywords
Extremal quantile autoregression; Extreme conditional quantiles; Extreme value theory; Heavy-tailed time series; Martingale central limit theorem;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:176:y:2022:i:c:s0167947322001438. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.