Using quantile regression for duration analysis

By Bernd Fitzenberger, Ralf Andreas Wilke. 2006

56 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c58db70ebbb251a7eb68c7e3bebc89523aaaa6ba

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In Statistics and Probability

1. Roger W. Koenker
2. Antonio F. Galvao
3. Carlos Lamarche
4. Richard A. Berk
5. Victor Chernozhukov
6. Xuming He
7. Matteo Bottai
8. Marco Geraci

Citations in the corpus

• Local quantile regression (2010, unknown): “In financial risk management, the proper definition of quantile based Value at Risk impacts asset pricing, portfolio hedging and investment evaluation, Engle and Manganelli (2004), Cai and Wang (2008) and Fitzenberger and Wilke (2006).”
• Censored Quantile Regression Redux (2008, methodology): “Fitzenberger and Wilke (2006) provide a valuable survey of applications of censored quantile regression methods in econometric duration modeling. An early alternative approach to Powell, suggested by Lindgren (1997), simply bins the data in covariate space and computes local Kaplin Meier estimates i”