A consistent specification test for dynamic quantile models

DOI10.3982/QE1727OpenAlexW4206770398MaRDI QIDQ5087324

Zhipeng Liao, Andrew J. Patton, Jia Li, Péter Horváth

Publication date: 11 July 2022

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1727

zbMATH Keywords

bootstrapstrong approximationVaRseries regression

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk

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