Wu, Wei Biao; Yu, Keming; Mitra, Gautam - In: Journal of Financial Econometrics 6 (2008) 2, pp. 253-270
The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to...