Quantile Spectral Analysis for Locally Stationary Time Series
No abstract is available for this item.
|Date of creation:||Jul 2015|
|Publication status:||Published by:|
|Contact details of provider:|| Postal: Av. F.D., Roosevelt, 39, 1050 Bruxelles|
Phone: (32 2) 650 30 75
Fax: (32 2) 650 44 75
Web page: http://difusion.ulb.ac.be
More information through EDIRC
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.:
- Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
- Piotr Fryzlewicz & Theofanis Sapatinas & Suhasini Subba Rao, 2008. "Normalized least-squares estimation in time-varying ARCH models," LSE Research Online Documents on Economics 25187, London School of Economics and Political Science, LSE Library.
- Zhao, Zhibiao & Wu, Wei Biao, 2009. "Nonparametric inference of discretely sampled stable Lévy processes," Journal of Econometrics, Elsevier, vol. 153(1), pages 83-92, November.
- G. P. Nason & R. von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
- Koenker,Roger, 2005.
Cambridge University Press, number 9780521845731, Diciembre.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275.
- Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
- Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
- Li, Ta-Hsin, 2008. "Laplace Periodogram for Time Series Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 757-768, June.
- Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.
- Ta-Hsin Li, 2012. "Quantile Periodograms," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 765-776, June.
- Michael Vogt, 2012. "Nonparametric regression for locally stationary time series," CeMMAP working papers CWP22/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ta-Hsin Li, 2014. "Quantile Periodogram And Time-Dependent Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 322-340, 07.
- R. Dahlhaus & M. Neumann & R. von Sachs, 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Piotr Fryzlewicz & Theofanis Sapatinas & Suhasini Subba Rao, 2006. "A Haar-Fisz technique for locally stationary volatility estimation," LSE Research Online Documents on Economics 25225, London School of Economics and Political Science, LSE Library.
- Longla, Martial & Peligrad, Magda, 2012. "Some aspects of modeling dependence in copula-based Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 234-240.
- Yongmiao Hong, 2000. "Generalized spectral tests for serial dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(3), pages 557-574.
- Francq, Christian & Zako an, Jean-Michel, 2005. "A Central Limit Theorem For Mixing Triangular Arrays Of Variables Whose Dependence Is Allowed To Grow With The Sample Size," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1165-1171, December.
- Tobias Kley & Stanislav Volgushev & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Processes: Asymptotic Analysis and Inference," Working Papers ECARES ECARES 2014-07, ULB -- Universite Libre de Bruxelles. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eca:wpaper:2013/206826. 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: (Benoit Pauwels)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.