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Copula-based nonlinear quantile autoregression

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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...

Persistent link: https://www.econbiz.de/10003765985

Copula-based nonlinear quantile autoregression

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Copula-based nonlinear quantile autoregression

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Recent Advances in panel data, nonlinear and nonparametric models : a Festschrift in honor of Peter C. B. Phillips

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