Copula-based nonlinear quantile autoregression

DOI10.1111/j.1368-423X.2008.00274.xzbMath1182.62175OpenAlexW3123890958MaRDI QIDQ3406053

Xiaohong Chen, Zhijie Xiao, Roger W. Koenker

Publication date: 12 February 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00274.x

zbMATH Keywords

copulaquantile autoregressionergodic nonlinear Markov models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03) Statistics of extreme values; tail inference (62G32) Markov processes: estimation; hidden Markov models (62M05)

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Uses Software

• CAViaR

Cites Work

• Unnamed Item
• Estimation of copula-based semiparametric time series models
• Regression Quantiles
• Inference on the Quantile Regression Process