Journal article Open Access
Yuzhi Cai
Name | Size | |
---|---|---|
10002644.pdf
md5:775d4d71fb449ff4042f5c40465e3045 |
294.4 kB | Download |
Koenker, R. (2005). Quantiles Regression. Cambridge University Press.
Gilchrist, W.G. (2000). Statistical Modelling with Quantile Functions. Chapman & Hall/CRC.
Cai, Y. (2015). A general quantile function model for economic and financial time series. Econometric Reviews. Accepted.
Cai, Y. (2013). Quantile function models for survival data analysis. Australian and New Zealand Journal of Statistics 55, 155-172.
Cai, Y. (2010a). Multivariate quantile function models. Statistica Sinica 20, 481-496.
Cai, Y. (2010b). Polynomial power-Pareto quantile function models. Extremes 13, 291-314.
Cai, Y. (2009). Autoregression with non-Gaussian Innovations. Journal of Time Series Econometrics, Vol.1, Iss.2, Article 2. DOI: 10.2202/1941-1928.1016.
Cai, Y, Montes-Rojas, G. and Olmo, J. (2013). Quantile double AR time series models for financial returns. Journal of Forecasting 32, 551-560.
Engle, R.F. and Manganelli, S. (2004). CAViaR: Conditional autoregressive value at risk by regression quantiles. Journal of Business and Economic Statistics 22, 367-381.
All versions | This version | |
---|---|---|
Views | 401 | 399 |
Downloads | 132 | 132 |
Data volume | 38.9 MB | 38.9 MB |
Unique views | 383 | 381 |
Unique downloads | 126 | 126 |