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https://hdl.handle.net/10419/25177
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Franke, Jürgen | en |
dc.contributor.author | Stockis, Jean-Pierre | en |
dc.contributor.author | Tadjuidje, Joseph | en |
dc.date.accessioned | 2007-03-07 | - |
dc.date.accessioned | 2009-07-23T14:44:31Z | - |
dc.date.available | 2009-07-23T14:44:31Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | http://hdl.handle.net/10419/25177 | - |
dc.description.abstract | We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not require the specification of the innovation law. We prove consistency of those estimates and illustrate their good performance for light- and heavy-tailed distributions of the innovations with a small simulation study. As an economic application, we use the estimates for calculating the value at risk of some stock price series. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2007,005 | en |
dc.subject.jel | C14 | en |
dc.subject.jel | C45 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | conditional quantile | en |
dc.subject.keyword | time series | en |
dc.subject.keyword | sieve estimate | en |
dc.subject.keyword | neural network | en |
dc.subject.keyword | qualitative threshold model | en |
dc.subject.keyword | uniform consistency | en |
dc.subject.keyword | value at risk | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Maßzahl | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Value at Risk | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Theorie | en |
dc.title | Quantile sieve estimates for time series | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 525376372 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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