Nonparametric Quantile Regression With Applications to Financial Time Series-Reference-Cited by-同舟云学术

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Nonparametric Quantile Regression With Applications to Financial Time Series

Published:2002 Issue: Volume: Page:149-160
ISSN:
Container-title:Statistical Data Analysis Based on the L1-Norm and Related Methods
language:
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Author:

Abberger Klaus,Heiler Siegfried

Publisher

Birkhäuser Basel

Link

http://link.springer.com/content/pdf/10.1007/978-3-0348-8201-9_12

Reference28 articles.

1. K. Abberger, Nichtparametrische Schätzung bedingter Quantile in Zeitreihen — Mit Anwendungen auf Finanzmarktdaten. Hartung-Gorre Verlag, Konstanz, 1996

2. K. Abberger, Cross Validation in Nonparametric Quantile Regression. Allg. Statist. Archiv, 82 (1998), 149–161.

3. K. Abberger, Penalizing Function Based Bandwidth Choice in Nonparametric Quantile Regression. Technical Report No. 01/10, Center of Finance and Econometrics, Universität Konstanz, 2001.

4. J. Beran, Y. Feng, and S. Heiler, Modifying the Double Smoothing Bandwidth Selector in Nonparametric Regression. Technical Report No. 00/37, Center of Finance and Econometrics, Universität Konstanz, 2000.

5. J. Fan, and I. Gijbels, Variable Bandwidth and Local Linear Regression Smoothers. Annals of Statistics, 20 (1992), 2008–2036.

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