The method of simulated quantiles
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DOI: 10.1016/j.jeconom.2012.08.010
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- Tsionas, Mike G., 2016. "Bayesian analysis of multivariate stable distributions using one-dimensional projections," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 185-193.
- Mohammad Mohammadi & Adel Mohammadpour & Hiroaki Ogata, 2015. "On estimating the tail index and the spectral measure of multivariate $$\alpha $$ α -stable distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(5), pages 549-561, July.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
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- Ina Simonovska & ARIEL WEINBERGER & Jae Wook Jung, 2017. "Exporter Heterogeneity and Price Discrimination: A Quantitative View," 2017 Meeting Papers 44, Society for Economic Dynamics.
- Qin, Shanshan & Wu, Yuehua, 2020. "General matching quantiles M-estimation," Computational Statistics & Data Analysis, Elsevier, vol. 147(C).
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- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013.
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- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
- Grabchak, Michael, 2021. "An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case," Statistics & Probability Letters, Elsevier, vol. 170(C).
- Svetlana Makarova, 2016. "ECB footprints on inflation forecast uncertainty," Bank of Estonia Working Papers wp2016-5, Bank of Estonia, revised 19 Jul 2016.
- M. Bee & J. Hambuckers & L. Trapin, 2019.
"Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach,"
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- Marco Bee & Julien Hambuckers & Luca Trapin, 2018. "Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach," DEM Working Papers 2018/08, Department of Economics and Management.
- Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.
- Jabłońska-Sabuka, Matylda & Teuerle, Marek & Wyłomańska, Agnieszka, 2017. "Bivariate sub-Gaussian model for stock index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 628-637.
- Charemza, Wojciech & Díaz, Carlos & Makarova, Svetlana, 2019. "Quasi ex-ante inflation forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 35(3), pages 994-1007.
- Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
- Sgouropoulos, Nikolaos & Yao, Qiwei & Yastremiz, Claudia, 2015. "Matching a distribution by matching quantiles estimation," LSE Research Online Documents on Economics 57221, London School of Economics and Political Science, LSE Library.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Ogata, Hiroaki, 2013. "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, vol. 172(2), pages 248-254.
- Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
- Svetlana Makarova, 2018. "European Central Bank Footprints On Inflation Forecast Uncertainty," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 637-652, January.
- Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
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More about this item
Keywords
Quantiles; Simulation; Matching; Inference;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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