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Local Polynomial Quantile Regression With Parametric Features

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  • El Ghouch, Anouar
  • Genton, Marc G.

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  • 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.
    • Handle: RePEc:bes:jnlasa:v:104:i:488:y:2009:p:1416-1429
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    References listed on IDEAS

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    1. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
    2. Hagmann, M. & Scaillet, O., 2007. "Local multiplicative bias correction for asymmetric kernel density estimators," Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
    3. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(5), pages 793-813, December.
    4. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, September.
    5. David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika Van Der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639, October.
    6. Fan, Yanqin & Ullah, Aman, 1999. "Asymptotic Normality of a Combined Regression Estimator," Journal of Multivariate Analysis, Elsevier, vol. 71(2), pages 191-240, November.
    7. Gozalo, Pedro & Linton, Oliver, 2000. "Local nonlinear least squares: Using parametric information in nonparametric regression," Journal of Econometrics, Elsevier, vol. 99(1), pages 63-106, November.
    8. Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
    9. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(1), pages 17-39, February.
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    Cited by:

    1. Kuk, Anthony Y.C., 2017. "Function compositional adjustments of conditional quantile curves," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 281-293.
    2. Sancetta, Alessio, 2013. "Weak conditions for shrinking multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 285-300.
    3. Yoshida, Takuma, 2018. "Semiparametric method for model structure discovery in additive regression models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 124-136.
    4. Angela Noufaily & M. C. Jones, 2013. "Parametric quantile regression based on the generalized gamma distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 62(5), pages 723-740, November.
    5. Kaiping Wang, 2014. "Modeling Stock Index Returns using Semi-Parametric Approach with Multiplicative Adjustment," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 65-75, December.

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