Franke, Jürgen; Stockis, Jean-Pierre; Tadjuidje, Joseph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We consider the problem of estimating the conditional quantile of a time series at time t given observations of the … consider the problem of estimating the conditional quantile of a time
series at time t given observations of the same and … innovation distribution. They consider a class of models
where the conditional quantile q
t
is specified as a function of …