Estimating the conditional quantiles of outcome variables of interest is frequent in many research areas, and quantile regression is foremost among the utilized methods. The coefficients of a quantile ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
In this paper we propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter ...
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