Quantile smoothing in financial time series

Author:

Abberger Klaus

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference21 articles.

1. Abberger K. (1995): Kreuzvalidierung in der nichtparametrischen Quantilsregression, Diskussionsbeitrag Nr. 254 Ser. II, Sonderforschungsbereich 178, Universität Konstanz.

2. Abberger K. (1994): Nichtparametrische Schätzung bedingter Quantile in Finanzmarktdaten, Diskussionsbeitrag Nr. 225 Ser. II, Sonderforschungsbereich 178, Universität Konstanz.

3. Aerts M., Janssen P., Veraverbeke N. (1993): Asymptotic theory for regression quantile estimators in the heteroscedastic regression model, in: Asymptotic Statistics (Eds.: Mandel P., Hušhová M.), Physica-Verlag, Heidelberg.

4. Baillie R.T., Bollerslev T. (1989): The Message in Daily Exchange Rates: A Conditional-Variance Tale, Journal of Business & Economic Statistics 7, 297–305.

5. Bollerslev T. (1986): Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307–327.

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