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Conditional Quantile Estimation and Inference for Arch Models

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Cited by:

  1. Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 282-294, April.
  2. Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015. "Quantile cointegration in the autoregressive distributed-lag modeling framework," Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.
  3. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  4. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
  5. Wang, Meng & Chen, Zhao & Wang, Christina Dan, 2018. "Composite quantile regression for GARCH models using high-frequency data," Econometrics and Statistics, Elsevier, vol. 7(C), pages 115-133.
  6. Huang, Xiaolin & Shi, Lei & Suykens, Johan A.K., 2014. "Asymmetric least squares support vector machine classifiers," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 395-405.
  7. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
  8. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
  9. Miroslav Mimra & Miroslav Kavka & František Kumhála, 2017. "Risk analysis of the business profitability in agricultural companies using combine harvesters," Research in Agricultural Engineering, Czech Academy of Agricultural Sciences, vol. 63(3), pages 99-105.
  10. Dieter Gerdesmeier & Andreja Lenarčič & Barbara Roffia, 2015. "An alternative method for identifying booms and busts in the Euro area housing market," Applied Economics, Taylor & Francis Journals, vol. 47(5), pages 499-518, January.
  11. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
  12. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2019. "Quantile Diffusions for Risk Analysis," Papers 1912.10866, arXiv.org, revised Sep 2021.
  13. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Black swan events in China's stock markets: Intraday price behaviors on days of volatility," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 395-411.
  14. Gaglianone, Wagner Piazza & Guillén, Osmani Teixeira de Carvalho & Figueiredo, Francisco Marcos Rodrigues, 2018. "Estimating inflation persistence by quantile autoregression with quantile-specific unit roots," Economic Modelling, Elsevier, vol. 73(C), pages 407-430.
  15. Luis Melo Velandia & Luis Fernando Melo Velandia, 2019. "Regresión cuantílica dinámica para la medición del valor en riesgo: Una aplicación a datos colombianos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 38(76), pages 23-50, January.
  16. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
  17. Machado, José A.F. & Santos Silva, J.M.C., 2019. "Quantiles via moments," Journal of Econometrics, Elsevier, vol. 213(1), pages 145-173.
  18. Caporin, Massimiliano & Gupta, Rangan & Ravazzolo, Francesco, 2021. "Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  19. Su, Liangjun & Xiao, Zhijie, 2008. "Testing for parameter stability in quantile regression models," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2768-2775, November.
  20. Tae-Hwan Kim & Halbert White, 2003. "Estimation, Inference, And Specification Testing For Possibly Misspecified Quantile Regression," Advances in Econometrics, in: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, pages 107-132, Emerald Group Publishing Limited.
  21. Lima, Luiz Renato & Néri, Breno Pinheiro, 2007. "Comparing Value-at-Risk Methodologies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
  22. Tae-Hwan Kim & Christophe Muller, 2020. "Inconsistency transmission and variance reduction in two-stage quantile regression," Post-Print hal-02084505, HAL.
  23. John W. Galbraith & Liam Cheung, 2013. "Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model," CIRANO Working Papers 2013s-19, CIRANO.
  24. Tae-Hwan Kim & Christophe Muller, 2004. "Two-stage quantile regression when the first stage is based on quantile regression," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 218-231, June.
  25. 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.
  26. Hongtao Guo & Miranda S. Lam & Guojun Wu & Zhijie Xiao, 2013. "Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 1-15.
  27. Das, Narasingha & Gangopadhyay, Partha & Alghamdi, Thamer & Sarwar, Suleman & Haseeb, Mohammad & Barut, Abdulkadir & Dey, Labani, 2023. "Understanding the role of efficiency in the electricity generation process for promoting human development in India: Findings from the novel multiple threshold nonlinear ARDL modelling," Utilities Policy, Elsevier, vol. 82(C).
  28. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
  29. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 19-48, June.
  30. Donggyu Kim & Minseog Oh & Yazhen Wang, 2022. "Conditional quantile analysis for realized GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 640-665, July.
  31. Jiang, Xuejun & Li, Jingzhi & Xia, Tian & Yan, Wanfeng, 2016. "Robust and efficient estimation with weighted composite quantile regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 413-423.
  32. Escanciano, J. Carlos, 2010. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," Econometric Theory, Cambridge University Press, vol. 26(3), pages 744-773, June.
  33. Shuzhen Yang, 2021. "Compensatory model for quantile estimation and application to VaR," Papers 2112.07278, arXiv.org.
  34. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  35. Chan Jennifer So Kuen & Nitithumbundit Thanakorn & Peiris Shelton & Ng Kok-Haur, 2019. "Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-22, April.
  36. Jungsik Noh & Sangyeol Lee, 2016. "Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 700-720, September.
  37. Gangopadhyay, Partha & Das, Narasingha & Alam, G.M. Monirul & Khan, Uzma & Haseeb, Mohammad & Hossain, Md. Emran, 2023. "Revisiting the carbon pollution-inhibiting policies in the USA using the quantile ARDL methodology: What roles can clean energy and globalization play?," Renewable Energy, Elsevier, vol. 204(C), pages 710-721.
  38. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics.
  39. Cai, Zongwu & Xu, Xiaoping, 2009. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
  40. Cheng Cheng & Xiaohang Ren & Zhen Wang & Yukun Shi, 2018. "The Impacts of Non-Fossil Energy, Economic Growth, Energy Consumption, and Oil Price on Carbon Intensity: Evidence from a Panel Quantile Regression Analysis of EU 28," Sustainability, MDPI, vol. 10(11), pages 1-20, November.
  41. Xuejun Jiang & Yunxian Li & Aijun Yang & Ruowei Zhou, 2020. "Bayesian semiparametric quantile regression modeling for estimating earthquake fatality risk," Empirical Economics, Springer, vol. 58(5), pages 2085-2103, May.
  42. Linton, Oliver & Whang, Yoon-Jae, 2003. "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics 2112, London School of Economics and Political Science, LSE Library.
  43. Giacomini, Raffaella & Komunjer, Ivana, 2005. "Evaluation and Combination of Conditional Quantile Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 416-431, October.
  44. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
  45. Fahimah A. Al-Awadhi & Zoulikha Kaid & Ali Laksaci & Idir Ouassou & Mustapha Rachdi, 2019. "Functional data analysis: local linear estimation of the $$L_1$$ L 1 -conditional quantiles," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(2), pages 217-240, June.
  46. Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 185-226.
  47. Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
  48. Reeves, Jonathan J., 2005. "Bootstrap prediction intervals for ARCH models," International Journal of Forecasting, Elsevier, vol. 21(2), pages 237-248.
  49. El Ghouch, Anouar & Genton, Marc G., 2009. "Local Polynomial Quantile Regression With Parametric Features," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1416-1429.
  50. Schaumburg, Julia, 2012. "Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4081-4096.
  51. Cho, Jin Seo & Han, Chirok & Phillips, Peter C.B., 2010. "Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities," Econometric Theory, Cambridge University Press, vol. 26(3), pages 953-962, June.
  52. Escanciano, J. Carlos & Olmo, Jose, 2010. "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
  53. Zongwu Cai & Haiqiang Chen & Xiaosai Liao, 2020. "A New Robust Inference for Predictive Quantile Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202002, University of Kansas, Department of Economics, revised Feb 2020.
  54. Milan Cizek & Miroslav Mimra & Miroslav Kavka & Jaroslav Humpal, 2019. "Analysis of economic risk in potatoes cultivation," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(7), pages 331-339.
  55. Mendes, Beatriz Vaz de Melo & Júnior, Antonio Marcos Duarte, 1999. "Robust Estimation for ARCH Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
  56. Mukherjee, Kanchan, 2007. "Generalized R-estimators under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 141(2), pages 383-415, December.
  57. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
  58. Marilena Furno, 2021. "Cointegration tests at the quantiles," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1087-1100, January.
  59. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
  60. John W. Galbraith & Victoria Zinde-Walsh, 2000. "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations," Econometric Society World Congress 2000 Contributed Papers 1800, Econometric Society.
  61. Liangjun Su & Zhenlin Yang, 2007. "Instrumental Variable Quantile Estimation of Spatial Autoregressive Models," Development Economics Working Papers 22476, East Asian Bureau of Economic Research.
  62. Caglayan, Mustafa Onur & Xue, Wenjun & Zhang, Liwen, 2020. "Global investigation on the country-level idiosyncratic volatility and its determinants," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 143-160.
  63. M. -Y. Chen & F. -L. Lin & C. -K. Chang, 2009. "Relations between health care expenditure and income: an application of local quantile regressions," Applied Economics Letters, Taylor & Francis Journals, vol. 16(2), pages 177-181.
  64. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
  65. Jungmo Yoon & Antonio F. Galvao, 2020. "Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects," Quantitative Economics, Econometric Society, vol. 11(2), pages 579-608, May.
  66. Wang, Jiang-Feng & Ma, Wei-Min & Fan, Guo-Liang & Wen, Li-Min, 2015. "Local linear quantile regression with truncated and dependent data," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 232-240.
  67. Beum‐Jo Park, 2007. "Trading Volume, Volatility, And Garch Effects In The South Korean Won/Us Dollar Exchange Market: Evidence From Conditional Quantile Estimation," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 382-399, September.
  68. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
  69. Antonio F. Galvao JR. & Gabriel Montes-Rojas & Sung Y. Park, 2013. "Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 307-321, April.
  70. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
  71. Beum-Jo Park, 2002. "Asymmetric Volatility of Exchange Rate Returns Under The EMS: Some Evidence From Quantile Regression Approach for Tgarch Models," International Economic Journal, Taylor & Francis Journals, vol. 16(1), pages 105-125.
  72. Su, Liangjun & Hoshino, Tadao, 2016. "Sieve instrumental variable quantile regression estimation of functional coefficient models," Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
  73. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, vol. 29(1), pages 202-219.
  74. Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, vol. 6(3), pages 1-47, September.
  75. Seonjin Kim, 2015. "Hypothesis Testing For Arch Models: A Multiple Quantile Regressions Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 26-38, January.
  76. Hubner, Stefan, 2016. "Topics in nonparametric identification and estimation," Other publications TiSEM 08fce56b-3193-46e0-871b-0, Tilburg University, School of Economics and Management.
  77. Zongwu Cai & Meng Shi & Yue Zhao & Wuqing Wu, 2020. "Testing Financial Hierarchy Based on A PDQ-CRE Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202011, University of Kansas, Department of Economics, revised Jul 2020.
  78. Yanlin Tang & Xinyuan Song & Zhongyi Zhu, 2015. "Variable selection via composite quantile regression with dependent errors," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(1), pages 1-20, February.
  79. So, Mike K.P. & Chung, Ray S.W., 2015. "Statistical inference for conditional quantiles in nonlinear time series models," Journal of Econometrics, Elsevier, vol. 189(2), pages 457-472.
  80. Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
  81. Yuzhi Cai & Guodong Li, 2018. "A novel approach to modelling the distribution of financial returns," Working Papers 2018-22, Swansea University, School of Management.
  82. Zhao, Quanshui, 2000. "Restricted Regression Quantiles," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 78-99, January.
  83. Derek Bunn, Arne Andresen, Dipeng Chen, Sjur Westgaard, 2016. "Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  84. Tselika, Kyriaki, 2022. "The impact of variable renewables on the distribution of hourly electricity prices and their variability: A panel approach," Energy Economics, Elsevier, vol. 113(C).
  85. Marc Hallin & Zudi Lu & Davy Paindaveine & Miroslav Siman, 2012. "Local Constant and Local Bilinear Multiple-Output Quantile Regression," Working Papers ECARES ECARES 2012-003, ULB -- Universite Libre de Bruxelles.
  86. Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
  87. Pavel Boček & Miroslav Šiman, 2017. "On weighted and locally polynomial directional quantile regression," Computational Statistics, Springer, vol. 32(3), pages 929-946, September.
  88. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Papers 2305.20067, arXiv.org.
  89. Iddrisu, Abdul-Aziz & Alagidede, Imhotep Paul, 2020. "Monetary policy and food inflation in South Africa: A quantile regression analysis," Food Policy, Elsevier, vol. 91(C).
  90. Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
  91. Dong Jin Lee, 2020. "Optimal tests for parameter breaking process in conditional quantile models," The Japanese Economic Review, Springer, vol. 71(3), pages 479-510, July.
  92. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
  93. D. E. Allen & A. K. Singh & R. Powell, 2012. "A Gourmet's delight: CAViaR and the Australian stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 19(15), pages 1493-1498, October.
  94. Daniel Hlubinka & Lukáš Kotík & Miroslav Šiman, 2022. "Multivariate quantiles with both overall and directional probability interpretation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(4), pages 1586-1604, December.
  95. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk Abstract: One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as t," Caepr Working Papers 2007-005, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  96. Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
  97. Tae-Hwan Kim, & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," AMSE Working Papers 1221, Aix-Marseille School of Economics, France.
  98. Zongwu Cai & Xiyuan Liu, 2020. "A Nonparametric Dynamic Network via Multivariate Quantile Autoregressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202209, University of Kansas, Department of Economics, revised Mar 2022.
  99. Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Model Averaging for High Dimensional Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202302, University of Kansas, Department of Economics, revised Jan 2023.
  100. Furno, Marilena, 2001. "LAD estimation with random coefficient autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 36(4), pages 511-523, June.
  101. Yu Shen & Han-Ying Liang, 2018. "Quantile regression and its empirical likelihood with missing response at random," Statistical Papers, Springer, vol. 59(2), pages 685-707, June.
  102. Feipeng Zhang & Yun Hong & Yanhui Jiang & Jiayi Yu, 2022. "Impact of national media reporting concerning COVID-19 on stock market in China: empirical evidence from a quantile regression," Applied Economics, Taylor & Francis Journals, vol. 54(33), pages 3861-3881, July.
  103. Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
  104. Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
  105. Escanciano, J. Carlos & Olmo, Jose, 2010. "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
  106. James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
  107. Maume-Deschamps, Véronique & Niang, Ibrahima, 2018. "Estimation of quantile oriented sensitivity indices," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 122-127.
  108. Fan, Rui & Lee, Ji Hyung, 2019. "Predictive quantile regressions under persistence and conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(1), pages 261-280.
  109. Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore, 2012. "CDS Industrial Sector Indices, credit and liquidity risk," Working Papers 2012_09, Department of Economics, University of Venice "Ca' Foscari".
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