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Quantile Spectral Analysis for Locally Stationary Time Series

Listed author(s):
  • Stefan Birr
  • Stanislav Volgushev
  • Tobias Kley
  • Holger Dette
  • Marc Hallin

No abstract is available for this item.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/206826/3/2015-27-BIRR_VOLGUSHEV_KLEY_DETTE_HALLIN-quantile.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2015-27.

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Length: 78 p.
Date of creation: Jul 2015
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/206826
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Fax: (32 2) 650 44 75
Web page: http://difusion.ulb.ac.be

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  1. Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
  2. Fryzlewicz, Piotr & Sapatinas, Theofanis & Subba Rao, Suhasini, 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.
  3. 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.
  4. Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2011. "Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis," Working Papers ECARES ECARES 2011-038, ULB -- Universite Libre de Bruxelles.
  5. 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.
  6. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, October.
  7. 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.
  8. 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.
  9. 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.
  10. Ta-Hsin Li, 2012. "Quantile Periodograms," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 765-776, June.
  11. 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.
  12. Ta-Hsin Li, 2014. "Quantile Periodogram And Time-Dependent Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 322-340, July.
  13. 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.
  14. Fryzlewicz, Piotr & Sapatinas, Theofanis & Subba Rao, Suhasini, 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
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