Estimation of Extreme Conditional Quantiles Through Power Transformation
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DOI: 10.1080/01621459.2013.820134
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- 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.
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- Georgios Tsiotas, 2020. "On the use of power transformations in CAViaR models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 296-312, March.
- 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.
- He, Fengyang & Wang, Huixia Judy & Zhou, Yuejin, 2022. "Extremal quantile autoregression for heavy-tailed time series," Computational Statistics & Data Analysis, Elsevier, vol. 176(C).
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