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Copula-Based Nonlinear Quantile Autoregression

  • Xiaohong Chen


    (Yale University)

  • Roger Koenker


    (University of Illinois at Urbana-Champaign)

  • Zhijie Xiao


    (Boston College)

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed quantile estimators are established under mild conditions, allowing for global misspecification of parametric copulas and marginals, and without assuming any mixing rate condition. These results lead to a general framework for inference and model specification testing of extreme conditional value-at-risk for financial time series data.

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Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 691.

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Length: 31 pages
Date of creation: 08 Oct 2008
Date of revision:
Handle: RePEc:boc:bocoec:691
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  1. Beare, Brendan, 2008. "Copulas and Temporal Dependence," University of California at San Diego, Economics Working Paper Series qt2880q2jq, Department of Economics, UC San Diego.
  2. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
  3. Weiss, Andrew A., 1991. "Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation," Econometric Theory, Cambridge University Press, vol. 7(01), pages 46-68, March.
  4. 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.
  5. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464.
  6. Andrew Patton, 2004. "Modelling Asymmetric Exchange Rate Dependence," Working Papers wp04-04, Warwick Business School, Finance Group.
  7. Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
  8. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731.
  9. Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995. "Econometric Evaluation of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-74.
  10. Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
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