NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES

DOI10.1017/S0266466612000667zbMath1283.62099OpenAlexW3124512484MaRDI QIDQ5403107

Ke-Li Xu

Publication date: 25 March 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000667

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (3)

A direct approach to inference in nonparametric and semiparametric quantile models ⋮ Inference of local regression in the presence of nuisance parameters ⋮ MODEL-FREE INFERENCE FOR TAIL RISK MEASURES

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