Estimating Structural Changes in Regression Quantiles

By Tatsushi Oka, Zhongjun Qu. 2011

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c1fc3f379276addc335e5bd382cf0f3929f0df92

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Pengyu Liu
2. I. Macneill
3. Stergios B. Fotopoulos
4. Venkata K. Jandhyala

In Finance

1. Pengyu Liu
2. I. Macneill
3. Stergios B. Fotopoulos
4. Venkata K. Jandhyala

Citations in the corpus

• Inference for single and multiple change‐points in time series (2013, background): “Oka and Qu (2011) also modelled quarterly GDP growth rate of USA (for the period 1947–2009) for multiple change-points, but via the quantile autoregressive model or order 2.”
• Searching for safe-haven assets during the COVID-19 pandemic (2020, unknown): “Detecting changes in the quantile regression was studied by Qu (2008) as well as Oka and Qu (2011). However, their methods are not applicable in the current context because limited observations could be made from the period studied.”