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Regression Quantiles For Time Series

Citations

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Cited by:

  1. repec:wyi:journl:002112 is not listed on IDEAS
  2. Sun, Haoze & Weng, Chengguo & Zhang, Yi, 2017. "Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 197-214.
  3. Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2023. "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Papers 2303.13218, arXiv.org.
  4. Sam Cosaert & Thomas Demuynck, 2018. "Nonparametric Welfare and Demand Analysis with Unobserved Individual Heterogeneity," The Review of Economics and Statistics, MIT Press, vol. 100(2), pages 349-361, May.
  5. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
  6. 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.
  7. Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
  8. Antonio Cosma & Olivier Scaillet & Rainer von Sachs, 2005. "Multiariate Wavelet-based sahpe preserving estimation for dependant observation," FAME Research Paper Series rp144, International Center for Financial Asset Management and Engineering.
  9. Chen, Shu-Ling, 2011. "Modeling Temperature Dynamics for Aquaculture Index Insurance In Taiwan: A Nonlinear Quantile Approach," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 104229, Agricultural and Applied Economics Association.
  10. Han-Ying Liang & Jacobo Uña-Álvarez, 2011. "Asymptotic properties of conditional quantile estimator for censored dependent observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(2), pages 267-289, April.
  11. 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.
  12. Dimitris N. Politis & Dimitrios D. Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Paper series 44_07, Rimini Centre for Economic Analysis.
  13. Han-Ying Liang & Jacobo Uña-Álvarez, 2012. "Empirical likelihood for conditional quantile with left-truncated and dependent data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(4), pages 765-790, August.
  14. Kiho Jeong & Wolfgang Härdle, 2008. "A Consistent Nonparametric Test for Causality in Quantile," SFB 649 Discussion Papers SFB649DP2008-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Lin, Wei & Cai, Zongwu & Li, Zheng & Su, Li, 2015. "Optimal smoothing in nonparametric conditional quantile derivative function estimation," Journal of Econometrics, Elsevier, vol. 188(2), pages 502-513.
  16. Hoderlein, Stefan & Su, Liangjun & White, Halbert & Yang, Thomas Tao, 2016. "Testing for monotonicity in unobservables under unconfoundedness," Journal of Econometrics, Elsevier, vol. 193(1), pages 183-202.
  17. Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long, 2021. "Semiparametric estimation and variable selection for single‐index copula models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 962-988, November.
  18. Qi Li & Juan Lin & Jeffrey S. Racine, 2013. "Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 57-65, January.
  19. Lin, Zhengyan & Li, Degui & Chen, Jia, 2008. "Change point estimators by local polynomial fits under a dependence assumption," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2339-2355, November.
  20. Jürgen Franke & Peter Mwita & Weining Wang, 2015. "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(1), pages 107-130, January.
  21. Oberhofer, Walter & Haupt, Harry, 2005. "Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design," University of Regensburg Working Papers in Business, Economics and Management Information Systems 406, University of Regensburg, Department of Economics.
  22. Song, Song & Ritov, Ya’acov & Härdle, Wolfgang K., 2012. "Bootstrap confidence bands and partial linear quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 244-262.
  23. Kadiri Nadia & Rabhi Abbes & Bouchentouf Amina Angelika, 2018. "Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship," Dependence Modeling, De Gruyter, vol. 6(1), pages 197-227, November.
  24. Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
  25. Taoufik Bouezmarni & Abderrahim Taamouti, 2014. "Nonparametric tests for conditional independence using conditional distributions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(4), pages 697-719, December.
  26. Hamri Mohamed Mehdi & Mekki Sanaà Dounya & Rabhi Abbes & Kadiri Nadia, 2022. "Single Functional Index Quantile Regression for Independent Functional Data Under Right-Censoring," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 26(1), pages 31-62, March.
  27. Yiguo Sun, 2005. "Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 105-127, May.
  28. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
  29. Zongwu Cai & Qi Li, 2013. "Some Recent Develop- ments on Nonparametric Econometrics," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  30. Hall, Peter & Yao, Qiwei, 2005. "Approximating conditional distribution functions using dimension reduction," LSE Research Online Documents on Economics 16333, London School of Economics and Political Science, LSE Library.
  31. Zongwu Cai & Guannan Liu & Wei Long & Xuelong Luo, 2024. "Semiparametric Conditional Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202401, University of Kansas, Department of Economics, revised Jan 2024.
  32. Cai, Zongwu & Juhl, Ted & Yang, Bingduo, 2015. "Functional index coefficient models with variable selection," Journal of Econometrics, Elsevier, vol. 189(2), pages 272-284.
  33. Matthias Hansmann & Benjamin M. Horn & Michael Kohler & Stefan Ulbrich, 2022. "Estimation of conditional distribution functions from data with additional errors applied to shape optimization," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(3), pages 323-343, April.
  34. 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.
  35. repec:wyi:journl:002094 is not listed on IDEAS
  36. Carole Bernard & Junsen Tang, 2016. "Simplified Hedge For Path-Dependent Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-32, November.
  37. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  38. Honda, Toshio, 2013. "Nonparametric LAD cointegrating regression," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 150-162.
  39. Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  40. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
  41. Ke-Li Xu & Peter C. B. Phillips, 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
  42. Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes," CIRJE F-Series CIRJE-F-573, CIRJE, Faculty of Economics, University of Tokyo.
  43. Guannan Liu & Wei Long & Bingduo Yang & Zongwu Cai, 2022. "Semiparametric estimation and model selection for conditional mixture copula models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 287-330, March.
  44. repec:wyi:journl:002114 is not listed on IDEAS
  45. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
  46. repec:wyi:journl:002095 is not listed on IDEAS
  47. Härdle, Wolfgang K. & Song, Song, 2010. "Confidence Bands In Quantile Regression," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1180-1200, August.
  48. Leorato, Samantha & Peracchi, Franco & Tanase, Andrei V., 2012. "Asymptotically efficient estimation of the conditional expected shortfall," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 768-784.
  49. d’Addona, Stefano & Khanom, Najrin, 2022. "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 241-260.
  50. Sun, Yiguo, 2006. "A Consistent Nonparametric Equality Test Of Conditional Quantile Functions," Econometric Theory, Cambridge University Press, vol. 22(4), pages 614-632, August.
  51. Ruiz-Castillo, Javier, 2012. "From the “European Paradox” to a European Drama in citation impact," UC3M Working papers. Economics we1211, Universidad Carlos III de Madrid. Departamento de Economía.
  52. Cai, Zongwu & Xiao, Zhijie, 2012. "Semiparametric quantile regression estimation in dynamic models with partially varying coefficients," Journal of Econometrics, Elsevier, vol. 167(2), pages 413-425.
  53. Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1321-1342, October.
  54. Jing Wang, 2012. "Modelling time trend via spline confidence band," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 275-301, April.
  55. Oberhofer, Walter & Haupt, Harry, 2003. "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems 388, University of Regensburg, Department of Economics.
  56. Cai, Zongwu & Wang, Xian, 2008. "Nonparametric estimation of conditional VaR and expected shortfall," Journal of Econometrics, Elsevier, vol. 147(1), pages 120-130, November.
  57. Wang, Chuan-Sheng & Zhao, Zhibiao, 2016. "Conditional Value-at-Risk: Semiparametric estimation and inference," Journal of Econometrics, Elsevier, vol. 195(1), pages 86-103.
  58. Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
  59. Lu Ou & Zhibiao Zhao, 2021. "Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 291-300, March.
  60. Sun, Y., 2003. "Square Root N - Consistent Semiparametric Estimation of Partially Linear Quantile Regression Models," Working Papers 2003-11, University of Guelph, Department of Economics and Finance.
  61. Anthony Tay & Christopher Ting, 2006. "Intraday stock prices, volume, and duration: a nonparametric conditional density analysis," Empirical Economics, Springer, vol. 30(4), pages 827-842, January.
  62. Wolfgang Härdle & Song Song, 2008. "The Stochastic Fluctuation of the Quantile Regression Curve," SFB 649 Discussion Papers SFB649DP2008-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  63. Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation for Research in Economics, Yale University, revised Jul 2010.
  64. Oberhofer, Walter & Haupt, Harry, 2005. "The asymptotic distribution of the unconditional quantile estimator under dependence," Statistics & Probability Letters, Elsevier, vol. 73(3), pages 243-250, July.
  65. Gannoun, Ali & Girard, Stephane & Guinot, Christiane & Saracco, Jerome, 2004. "Sliced inverse regression in reference curves estimation," Computational Statistics & Data Analysis, Elsevier, vol. 46(1), pages 103-122, May.
  66. 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.
  67. Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, vol. 6(3), pages 1-47, September.
  68. Zongwu Cai & Ying Fang & Dingshi Tian, 2018. "Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201804, University of Kansas, Department of Economics, revised Oct 2018.
  69. Yunyan Wang & Lixin Zhang & Mingtian Tang, 2012. "Re-weighted functional estimation of second-order diffusion processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1129-1151, November.
  70. repec:wyi:journl:002096 is not listed on IDEAS
  71. Chen, Xirong & Li, Degui & Li, Qi & Li, Zheng, 2019. "Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates," Journal of Econometrics, Elsevier, vol. 212(2), pages 433-450.
  72. 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.
  73. Li, Dong & Li, Qi, 2010. "Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters," Journal of Econometrics, Elsevier, vol. 157(1), pages 179-190, July.
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