Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
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DOI: 10.1111/1467-9892.00132
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Cited by:
- 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, Department of Economics, Indiana University Bloomington.
- J. Carlos Escanciano & Carlos Velasco, 2010. "Specification tests of parametric dynamic conditional quantiles," Post-Print hal-00732534, HAL.
- Gourieroux, C. & Jasiak, J., 2008.
"Dynamic quantile models,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
- Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
- Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023.
"Modeling and evaluating conditional quantile dynamics in VaR forecasts,"
Papers
2305.20067, arXiv.org.
- F. Cipollini & G.M. Gallo & A. Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Working Paper CRENoS 202308, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- repec:hal:journl:peer-00732534 is not listed on IDEAS
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