Resource title

Quantile sieve estimates for time series

Resource image

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Resource description

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 require the specification of the innovation law. We prove consistency of those estimates and illustrate their good performance for light- and heavy-tailed distributions of the innovations with a small simulation study. As an economic application, we use the estimates for calculating the value at risk of some stock price series.

Resource author

J├╝rgen Franke, Jean-Pierre Stockis, Joseph Tadjuidje

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25177

Resource license

Adapt according to the presented license agreement and reference the original author.