Copula-based nonlinear quantile autoregression

Xiaohong Chen; Roger Koenker; Zhijie Xiao

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Copula-based nonlinear quantile autoregression

机译：基于Copula的非线性分位数自回归

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摘要

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed quantile estimators are established under mild conditions, allowing for global misspecification of parametric copulas and marginals, and without assuming any mixing rate condition. These results lead to a general framework for inference and model specification testing of extreme conditional value-at-risk for financial time series data.

机译：显示出参数关联是吸引人的设备，用于指定非线性时间序列的分位数自回归模型。与经典的全局参数方法相比，估计局部的，基于分位数的基于copula的时间序列模型具有一些明显的优势。建议的分位数估计量的一致性和渐近正态性是在温和条件下建立的，允许参数系数和边际的全局错误指定，并且不假设任何混合速率条件。这些结果为金融时间序列数据的极端条件风险价值的推理和模型规范测试提供了一个通用框架。

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来源
《The econometrics journal》 |2009年第s1期|50-67|共18页
作者
Xiaohong Chen; Roger Koenker; Zhijie Xiao;
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作者单位

Cowles Foundation for Research in Economics, Yale University, Box 208281, New Haven,CT 06520, USA;

Department of Economics, University of Illinois at Urbana-Champaign, Champaign,IL 61820, USA;

Department of Economics, Boston College, Chestnut Hill, MA 02467, USA and Tsinghua University, Beijing, 100084, China;

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正文语种 eng
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关键词
copula; ergodic nonlinear markov models; quantile autoregression;

机译：系词;遍历非线性马尔可夫模型;分位数自回归;

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1. Testing for a unit root in a nonlinear quantile autoregression framework [J] . Li Haiqi, Park Sung Y. Econometric Reviews . 2018,第6a10期

机译：在非线性分位数自回归框架中测试单位根
2. Estimating inflation persistence by quantile autoregression with quantile-specific unit roots [J] . Gaglianone Wagner Piazza, de Carvalho Guillen Osmani Teixeira, Rodrigues Figueiredo Francisco Marcos Economic modelling . 2018,第JUNa期

机译：通过分位数特定单位根的分位数自回归估计通货膨胀持久性
3. A note on self-weighted quantile estimation for infinite variance quantile autoregression models [J] . Yang XR, Zhang LX Statistics & Probability Letters . 2008,第16期

机译：关于无限方差分位数自回归模型的自加权分位数估计的注释
4. Analysis of Agricultural Production in Asia and Measurement of Technical Efficiency Using Copula-Based Stochastic Frontier Quantile Model [C] . Varith Pipitpojanakarn, Paravee Maneejuk, Woraphon Yamaka, International symposium on integrated uncertainty in knowledge modelling and decision making . 2016

机译：基于Copula的随机前沿分位数模型的亚洲农业生产分析和技术效率测度
5. Essays on nonlinear panel data models and conditional quantiles. [D] . Baglan, Deniz. 2010

机译：关于非线性面板数据模型和条件分位数的论文。
6. Normative data from linear and nonlinear quantile regression in CANTAB: Cognition in mid-to-late life in an epidemiological sample [O] . Rosemary A. Abbott, Caroline Skirrow, Martha Jokisch, 2019

机译：来自CANTAB中线性和非线性分位数回归的规范数据：流行病学样本中对中晚期生命的认知
7. Copula-based nonlinear quantile autoregression. Econometrics Journal. 2009;12:S50-S67. ACKNOWLEDGEMENTS This research was supported in part by the Agency for Healthcare Research & Quality under Grant 1R01 HS14206. I wish to thank Drs Zhehui Luo at [O] . Xiaohong Chen, Roger Koenker, Zhijie Xiao, 2014

机译：基于Copula的非线性分位数自回归。计量经济学杂志。 2009; 12：S50-S67。致谢这项研究得到了美国医疗保健研究与质量局的部分资助，资助号为1R01 HS14206。我要感谢罗哲辉博士

Copula-based nonlinear quantile autoregression

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