IDEAS home Printed from https://ideas.repec.org/a/mcb/jmoncb/v44y2012i8p1589-1607.html
   My bibliography  Save this article

Constructing Density Forecasts from Quantile Regressions

Author

Listed:
  • WAGNER PIAZZA GAGLIANONE
  • LUIZ RENATO LIMA

Abstract

No abstract is available for this item.

Suggested Citation

  • Wagner Piazza Gaglianone & Luiz Renato Lima, 2012. "Constructing Density Forecasts from Quantile Regressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1589-1607, December.
  • Handle: RePEc:mcb:jmoncb:v:44:y:2012:i:8:p:1589-1607
    DOI: j.1538-4616.2012.00545.x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1538-4616.2012.00545.x
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014. "Stress-testing US bank holding companies: A dynamic panel quantile regression approach," International Journal of Forecasting, Elsevier, vol. 30(3), pages 691-713.
    2. Korobilis, Dimitris, 2015. "Quantile forecasts of inflation under model uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-72, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(3), pages 1-25, July.
    4. Korobilis, Dimitris, 2015. "Quantile forecasts of inflation under model uncertainty," MPRA Paper 64341, University Library of Munich, Germany.
    5. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
    6. repec:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1163-8 is not listed on IDEAS
    7. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
    8. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
    9. Korobilis, Dimitris, 2017. "Quantile regression forecasts of inflation under model uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 11-20.
    10. Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
    11. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
    12. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    13. repec:eee:intfor:v:33:y:2017:i:3:p:707-728 is not listed on IDEAS
    14. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
    15. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:mcb:jmoncb:v:44:y:2012:i:8:p:1589-1607. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879 .

    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.

    We have no references for this item. You can help adding them by using 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.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.