Chen, Xiaohong; Koenker, Roger; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2008
Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and...