Dynamic Quantile Models
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- Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
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More about this item
Keywords
Value-at-Risk; Factor Model; Information Criterion; Income Inequality; Panel Data; Loss-Given-Default;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-11-25 (Econometrics)
- NEP-RMG-2006-11-25 (Risk Management)
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