arXiv 12 Aug 2023 · Econometrics
arXiv:2308.06617 · PDF · DOI · OpenAlex · Extracted main text
This article discusses recent developments in the literature of quantile time series models in the cases of stationary and nonstationary underline stochastic processes.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lee, J. H (2016) Predictive quantile regression with persistent covariates: Ivx-qr approach | 0.874 | 10 | 2 | 100% |
| 2 | Escanciano, J. C. and Velasco, C (2010) Specification tests of parametric dynamic conditional quantiles | 0.874 | 8 | 2 | 100% |
| 3 | Tobias, A. and Brunnermeier, M. K (2016) Covar | 0.874 | 5 | 2 | 100% |
| 4 | Katsouris, C (2023) Structural break detection in quantile predictive regression models with persistent covariates self | 0.811 | 4 | 2 | 100% |
| 5 | Xiao, Z (2009) Quantile cointegrating regression | 0.811 | 4 | 2 | 100% |
| 6 | Ren, X. and Lu, Z (2020) Local linear quantile regression for time series under near epoch dependence | 0.737 | 4 | 3 | 50% |
| 7 | Angrist, J., Chernozhukov, V., and Fernández-Val, I (2006) Quantile regression under misspecification, with an application to the us wage structure | 0.737 | 3 | 2 | 100% |
| 8 | Escanciano, J. C. and Olmo, J (2010) Backtesting parametric value-at-risk with estimation risk | 0.737 | 3 | 2 | 100% |
| 9 | Katsouris, C (2021) Optimal portfolio choice and stock centrality for tail risk events self | 0.737 | 3 | 2 | 100% |
| 10 | Katsouris, C (2022) Asymptotic theory for moderate deviations from the unit boundary in quantile autoregressive time series self | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 152 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.