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Persistent link: https://www.econbiz.de/10011705234
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, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. …
Persistent link: https://www.econbiz.de/10010288336
This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...
Persistent link: https://www.econbiz.de/10010774278
This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...
Persistent link: https://www.econbiz.de/10010570522
, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. …
Persistent link: https://www.econbiz.de/10009024410