Quasi-maximum likelihood estimation for conditional quantiles
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- Robert F. Engle & Simone Manganelli, 2004.
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- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- repec:cup:cbooks:9780521252805 is not listed on IDEAS
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- Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
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- Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
- Portnoy, Stephen, 1991. "Asymptotic behavior of regression quantiles in non-stationary, dependent cases," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 100-113, July.
- Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, vol. 82(2), pages 235-287, February.
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- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
- Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
- Herman J. Bierens & Donna K. Ginther, 2001. "Integrated Conditional Moment testing of quantile regression models," Empirical Economics, Springer, vol. 26(1), pages 307-324.
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