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Robust rank tests of the unit root hypothesis

Hasan, M. N.; Koenker, Roger - 1994

Persistent link: https://www.econbiz.de/10000899065

Robust rank tests of the unit root hypothesis

Hasan, M. N.; Koenker, Roger - 1996 - [Rev.]

Persistent link: https://www.econbiz.de/10000933186

Conditional quantile estimation and inference for ARCH models

Koenker, Roger - In: Econometric theory 12 (1996) 5, pp. 793-813

Persistent link: https://www.econbiz.de/10001214300

Robust rank tests of the unit root hypothesis

Hasan, M. N. - In: Econometrica : journal of the Econometric Society, an … 65 (1997) 1, pp. 133-161

Persistent link: https://www.econbiz.de/10001217063

Quantile smoothing splines

Koenker, Roger; Ng, Pin T.; Portnoy, Steven - 1993

Persistent link: https://www.econbiz.de/10000866011

Unit root quantile autoregression inference

Koenker, Roger; Xiao, Zhijie - In: Journal of the American Statistical Association : JASA 99 (2004) 467, pp. 775-787

Persistent link: https://www.econbiz.de/10002242185

Copula-based nonlinear quantile autoregression

Chen, Xiaohong (contributor); Koenker, Roger (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003773621

Copula-based nonlinear quantile autoregression

Chen, Xiaohong; Koenker, Roger; Xiao, Zhijie - 2008

Persistent link: https://www.econbiz.de/10003839704

Copula-based nonlinear quantile autoregression

Chen, Xiaohong; Koenker, Roger; Xiao, Zhijie - In: The econometrics journal 12 (2009), pp. 50-67

Persistent link: https://www.econbiz.de/10003876289

Copula-based nonlinear quantile autoregression

Chen, Xiaohong (contributor); Koenker, Roger (contributor); … - 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...

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