Fixed-k Inference for Conditional Extremal Quantiles
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DOI: 10.1080/07350015.2020.1870985
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- Yuya Sasaki & Yulong Wang, 2019. "Fixed-k Inference for Conditional Extremal Quantiles," Papers 1909.00294, arXiv.org, revised Jul 2020.
References listed on IDEAS
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Cited by:
- Hou, Yanxi & Leng, Xuan & Peng, Liang & Zhou, Yinggang, 2024. "Panel quantile regression for extreme risk," Journal of Econometrics, Elsevier, vol. 240(1).
- Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023.
"Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
- Paulo M.M. Rodrigues & João Nicolau, 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers w202306, Banco de Portugal, Economics and Research Department.
- Yuya Sasaki & Yulong Wang, 2024.
"Extreme Changes in Changes,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 812-824, April.
- Yuya Sasaki & Yulong Wang, 2022. "Extreme Changes in Changes," Papers 2211.14870, arXiv.org, revised May 2023.
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