Dynamic quantile models

By Christian Gouriéroux, Joann Jasiak. 2008

109 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2ba2129edb09dbdcad38b7f371c6fec91153bbd5

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Citations in the corpus

Quantile Correlations and Quantile Autoregressive Modeling (2012, unknown): “An alternative approach is to consider the dynamic additive quantile models (see Gourieroux and Jasiak 2008) or the constrained QAR models adopted from Bondell, Reich, and Wang (2010), which can avoid quantile crossing.”
Backtesting Parametric Value-at-Risk With Estimation Risk (2010, methodology): “Some of the earliest work on estimation risk in VaR measures is due to Jorion (2000). Our methodology, however, for the out-of-sample analysis builds on West (1996), and also McCracken (2000), adapted to our case of estimation of a quantile.”
Value–at–Risk Models (2009, unknown): “The CaViaR approach in Engle and Manganelli (2004) and the dynamic quantile approach in Gourieroux and Jasiak (2006) model the return quantile directly rather than specifying a complete data generating process.”
Bayesian Tail Risk Interdependence Using Quantile Regression (2015, methodology): “Timevarying quantiles represent a valid alternative to conditional quantile autoregression proposed in different contexts by Engle and Manganelli (2004), Gerlach et al. (2011), Gourieroux and Jasiak (2008) and Koenker and Xiao (2006).”
Comparison of estimation methods for the Weibull distribution (2013, methodology): “Of the known applications, we mention: robust averaging of eventrelated potentials [40], characterization of distributions [41,42], dynamic quantile models [43], estimation of quantile mixtures [42], hedge funds modeling [44], assessing symmetry [45].”
ROBUST BACKTESTING TESTS FOR VALUE-AT-RISK MODELS (2011, unknown): “, Hahn (1995), Horowitz (1998), Bilias, Chen and Ying (2000), Sakov and Bickel (2000) or He and Hu (2002).”
Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models (2009, background): “Gourieroux and Jasiak (2008) proposed the dynamic additive quantile (DAQ) model for calculating conditional quantiles.”
GARCH Models (2010, unknown): “Coherent Risk Measures In response to criticisms of VaR, several notions of coherent risk measures have been introduced.”
Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics (2020, background): “The dynamic additive quantile, while keeping the autoregressive approach, deals with this limitation [36].”
Nonlinear Panel Data Estimation via Quantile Regressions (2015, background): “fYt|Xt,η (yt | xt, η; θ (·)) = lim ǫ→0 ǫ wt (η) ′ [θ (ut + ǫ)− θ (ut)] , (33)”
Kernel density estimation for time series data (2012, methodology): “The disadvantage of having different parameters is that the quantiles may cross; see Gourieroux & Jasiak (2008).”