Copula-based nonlinear quantile autoregression

Econometrics Journal

Volumn 12, Issue SUPPL. 1, 2009, Pages

  Chen, Xiaohong ^a   Koenker, Roger ^b   Xiao, Zhijie ^c,d  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^c BOSTON COLLEGE   (United States)

^d TSINGHUA UNIVERSITY   (China)

Author keywords

Copula; Ergodic nonlinear Markov models; Quantile autoregression

Indexed keywords

EID: 67650677063     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00274.x     Document Type: Article

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