Efficient estimation in dynamic conditional quantile models
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Publication:736520
DOI10.1016/j.jeconom.2010.01.001zbMath1431.62119OpenAlexW2023706839MaRDI QIDQ736520
Ivana Komunjer, Quang H. Vuong
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.01.001
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
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