Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets
We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines the dependency structure between the variables of interest. Hence, we extend Koenker and Bassett's (1978. Regression quantiles. Econometrica, 46, no. 1: 33-50.) original statement of the quantile regression problem by determining a distribution for the dependent variable Y conditional on the regressors X, and hence the specification of the quantile regression functions. The approach exploits the fact that the joint distribution function can be split into two parts: the marginals and the dependence function (or copula). We then deduce the form of the (invariably nonlinear) conditional quantile relationship implied by the copula. This can be achieved with arbitrary distributions assumed for the marginals. Some properties of the copula-based quantiles or c-quantiles are derived. Finally, we examine the conditional quantile dependency in the foreign exchange market and compare our quantile approach with standard tail area dependency measures.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 15 (2009)
Issue (Month): 7-8 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/REJF20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/REJF20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- 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.
- Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- repec:cup:cbooks:9780521845731 is not listed on IDEAS
- 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.
- Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
- Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
- repec:cup:cbooks:9780521608275 is not listed on IDEAS
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Mark Salmon & Nicolas Gaussel & Eric Bouy?, 2001. "Investigating Dynamic Dependence Using Copulae," Working Papers wp01-03, Warwick Business School, Finance Group.
When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:15:y:2009:i:7-8:p:721-750. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.