Articles liés à Investigations on Quantile Regression: Theories and...

Investigations on Quantile Regression: Theories and Applications for Time Series Models - Couverture souple

Chen, Jau-er

 
9783843385299: Investigations on Quantile Regression: Theories and Applications for Time Series Models
Couverture souple
ISBN 10 : 3843385297 ISBN 13 : 9783843385299
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

Quantile regression, as introduced in Koenker and Bassett (1978), is gradually emerging as a comprehensive approach to the econometric analysis. Quantile regression estimation has not only the robustness advantages of semiparametric models which involve the distribution-free assumption but also the information extraction over whole conditional distribution. The goals of this monograph are aimed at clarifying the theoretical parts and facilitating the practical implementation of quantile regression methods. Typically, the emphasis is put on implementing quantile regression in time series models. This is because that the performance of the tests constructed for quantile regression estimators in time series has not been well explored. A comprehensive study on estimating the covariance matrix of quantile regression estimators are presented in this monograph. We also implements the quantile regression method to analyze the VaR of Nikkei 225 stock index. In short, estimation, asymptotic normality, statistical inferences and applications on quantile regression methods constitute the framework of this monograph.

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Présentation de l'éditeur

Quantile regression, as introduced in Koenker and Bassett (1978), is gradually emerging as a comprehensive approach to the econometric analysis. Quantile regression estimation has not only the robustness advantages of semiparametric models which involve the distribution-free assumption but also the information extraction over whole conditional distribution. The goals of this monograph are aimed at clarifying the theoretical parts and facilitating the practical implementation of quantile regression methods. Typically, the emphasis is put on implementing quantile regression in time series models. This is because that the performance of the tests constructed for quantile regression estimators in time series has not been well explored. A comprehensive study on estimating the covariance matrix of quantile regression estimators are presented in this monograph. We also implements the quantile regression method to analyze the VaR of Nikkei 225 stock index. In short, estimation, asymptotic normality, statistical inferences and applications on quantile regression methods constitute the framework of this monograph.

Biographie de l'auteur

Jau-er Chen, Ph.D. Candidate: studies Economics at New York University. Adjunct Instructor in econometrics at New York University.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3843385297
ISBN 13 
9783843385299
Reliure
Broché
Nombre de pages
108
Coordonnées du fabricant
non disponible
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