Quantile Spectral Analysis for Locally Stationary Time Series
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- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2015. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ECARES 2015-27, ULB -- Universite Libre de Bruxelles.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jozef Barun'ik & Tobias Kley, 2015. "Quantile Cross-Spectral Measures of Dependence between Economic Variables," Papers 1510.06946, arXiv.org.
- Stefan Birr & Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2016. "On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities," Working Papers ECARES ECARES 2016-38, ULB -- Universite Libre de Bruxelles.
More about this item
Keywordstime series; spectral analysis; periodogram; quantile regression; copulas; ranks; local stationarity;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-09 (All new papers)
- NEP-ECM-2014-05-09 (Econometrics)
- NEP-ETS-2014-05-09 (Econometric Time Series)
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