Estimating structural changes in regression quantiles

DOI10.1016/j.jeconom.2011.01.005zbMath1441.62823OpenAlexW3125161991MaRDI QIDQ737902

Tatsushi Oka, Zhongjun Qu

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.01.005

zbMATH Keywords

quantile regressionconditional distributionchange-pointstructural breakspolicy evaluation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (37)

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Uses Software

• CAViaR

Cites Work

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