We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series availableat time t − 1. We discuss sieve estimates which are a nonparametric versions ofthe Koenker-Bassett regression quantiles and do not...

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...