Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...

This paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in independent data. We extend Zheng's approach to the case of dependent...

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...