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Regression Quantiles For Time Series
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Cited by:
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2024.
"Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1026-1040, July.
- 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.
- 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.
- Cosaert, S. & Demuynck, T., 2014. "Nonparametric welfare and demand analysis with unobserved individual heterogeneity," Research Memorandum 010, Maastricht University, Graduate School of Business and Economics (GSBE).
- Sam Cosaert & Thomas Demuynck, 2018. "Nonparametric welfare and demand analysis with unobserved individual heterogeneity," ULB Institutional Repository 2013/251988, ULB -- Universite Libre de Bruxelles.
- 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.
- 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.
- Cai, Zongwu & Xu, Xiaoping, 2008. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1595-1608.
- Xiaoping Xu & Zongwu Cai, 2013. "Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
- 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.
- 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.
- Dimitris Politis & Dimitrios Thomakos, 2007.
"NoVaS Transformations: Flexible Inference for Volatility Forecasting,"
Working Papers
0005, University of Peloponnese, Department of Economics.
- Politis, Dimitris N & Thomakos, Dimitrios D, 2008. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," University of California at San Diego, Economics Working Paper Series qt982208kx, Department of Economics, UC San Diego.
- Dimitris N. Politis & Dimitrios D. Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Paper series 44_07, Rimini Centre for Economic Analysis.
- repec:hum:wpaper:sfb649dp2008-007 is not listed on IDEAS
- 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.
- 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.
- Stefan Hoderlein & Liangjun Su & Halbert White & Thomas Tao Yang, 2015. "Testing for Monotonicity in Unobservables under Unconfoundedness," Boston College Working Papers in Economics 899, Boston College Department of Economics.
- 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.
- Qi Li & Juan Lin & Jeffrey S. Racine, 2012. "Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions," Department of Economics Working Papers 2012-10, McMaster University.
- repec:hum:wpaper:sfb649dp2014-012 is not listed on IDEAS
- 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.
- Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
- 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.
- Bouezmarni, Taoufik, 2012. "Nonparametric tests for conditional independence using conditional distributions," UC3M Working papers. Economics we1217, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Härdle, Wolfgang Karl & Song, Song, 2008. "The stochastic fluctuation of the quantile regression curve," SFB 649 Discussion Papers 2008-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- 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.
- Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei, 2018. "Semiparametric Estimation and Variable Selection for Single-index Copula Models," IRTG 1792 Discussion Papers 2018-064, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei, 2022. "Semiparametric estimation and variable selection for single-index copula models," LIDAM Reprints ISBA 2022011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long, 2019. "Semiparametric Estimation and Variable Selection for Single-index Copula Models," Working Papers 2019-07-05, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- 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.
- 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.
- 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.
- 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.
- Honda, Toshio, 2013.
"Nonparametric LAD cointegrating regression,"
Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 150-162.
- Toshio Honda, 2011. "Nonparametric LAD Cointegrating Regression," Global COE Hi-Stat Discussion Paper Series gd11-207, Institute of Economic Research, Hitotsubashi University.
- 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.
- 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.
- Xu, Ke-Li & Phillips, Peter C. B., 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- 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.
- repec:wyi:journl:002095 is not listed on IDEAS
- Härdle, Wolfgang K. & Song, Song, 2010. "Confidence Bands In Quantile Regression," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1180-1200, August.
- 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.
- Samantha Leorato & Franco Peracchi & Andrei V. Tanase, 2010. "Asymptotically Efficient Estimation of the Conditional Expected Shortfall," EIEF Working Papers Series 1013, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
- 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.
- repec:cte:werepe:we1211 is not listed on IDEAS
- 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.
- Zongwu Cai & Qi Li, 2013. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Sun, Yiguo, 2006.
"A Consistent Nonparametric Equality Test Of Conditional Quantile Functions,"
Econometric Theory, Cambridge University Press, vol. 22(4), pages 614-632, August.
- Sun, Y., 2003. "A Consistent Nonparametric Equality Test of Conditional Quantile Functions," Working Papers 2003-10, University of Guelph, Department of Economics and Finance.
- Cai, Zongwu & Wang, Xian, 2008. "Nonparametric estimation of conditional VaR and expected shortfall," Journal of Econometrics, Elsevier, vol. 147(1), pages 120-130, November.
- 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.
- 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.
- Zhang, Xinyu & Li, Dong & Tong, Howell, 2023. "On the least squares estimation of multiple-threshold-variable autoregressive models," LSE Research Online Documents on Economics 118377, London School of Economics and Political Science, LSE Library.
- repec:hum:wpaper:sfb649dp2008-027 is not listed on IDEAS
- 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.
- 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.
- Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, vol. 6(3), pages 1-47, September.
- 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.
- 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.
- Franke, Jürgen & Mwita, Peter & Wang, Weining, 2014. "Nonparametric estimates for conditional quantiles of time series," SFB 649 Discussion Papers 2014-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- 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.
- 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.
- repec:wyi:journl:002112 is not listed on IDEAS
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Schaumburg, Julia, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers 2010-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
- 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.
- Cai, Zongwu & Juhl, Ted & Yang, Bingduo, 2015. "Functional index coefficient models with variable selection," Journal of Econometrics, Elsevier, vol. 189(2), pages 272-284.
- repec:wyi:journl:002094 is not listed on IDEAS
- 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.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Nieto, María Rosa, 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 EstadÃstica.
- 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.
- repec:wyi:journl:002114 is not listed on IDEAS
- 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.
- Jimmy Cheung & Smruthi Rangarajan & Amelia Maddocks & Xizhe Chen & Rohitash Chandra, 2024. "Quantile deep learning models for multi-step ahead time series prediction," Papers 2411.15674, arXiv.org.
- Jeong, Kiho & Härdle, Wolfgang Karl, 2008. "A consistent nonparametric test for causality in quantile," SFB 649 Discussion Papers 2008-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- 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.
- Zongwu Cai & Zhijie Xiao, 2010. "Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients," Boston College Working Papers in Economics 761, Boston College Department of Economics.
- 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.
- 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.
- Wang, Chuan-Sheng & Zhao, Zhibiao, 2016. "Conditional Value-at-Risk: Semiparametric estimation and inference," Journal of Econometrics, Elsevier, vol. 195(1), pages 86-103.
- 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.
- 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.
- 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.
- 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.
- 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.
- repec:wyi:journl:002096 is not listed on IDEAS
- 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.