Specification tests of parametric dynamic conditional quantiles
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DOI: 10.1016/j.jeconom.2010.06.003
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- Escanciano, Juan Carlos & Velasco, Carlos, 2010. "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, vol. 159(1), pages 209-221, November.
- Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
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Citations
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Cited by:
- Christoph Rothe & Dominik Wied, 2013.
"Misspecification Testing in a Class of Conditional Distributional Models,"
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Taylor & Francis Journals, vol. 108(501), pages 314-324, March.
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- Song Xi Chen & Jiti Gao, 2010. "Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models," School of Economics Working Papers 2010-28, University of Adelaide, School of Economics.
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More about this item
Keywords
C12; C22; Omnibus tests; Conditional quantiles; Nonlinear time series; Empirical processes; Quantile processes; Subsampling; Value-at-risk; Tail risk;JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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