• Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Investigations on Quantile Regression

Investigations on Quantile Regression

Paperback

Business General

ISBN10: 6207467698
ISBN13: 9786207467693
Publisher: LAP Lambert Academic Publishing
Published: Aug 4 2025
Pages: 108
Weight: 0.34
Height: 0.26 Width: 6.00 Depth: 9.00
Language: English
Quantile regression, introduced by Koenker and Bassett (1978), is gradually emerging as a comprehensive approach to econometric analysis. It offers the robustness of semiparametric models-with distribution-free assumptions-while providing insights across the entire conditional distribution. The goals of this monograph are to clarify the theoretical foundations and facilitate the practical implementation of quantile regression methods. Special emphasis is placed on applying quantile regression in time series models, an area where the performance of related statistical tests remains underexplored. A detailed study on estimating the covariance matrix of quantile regression estimators is also included. Additionally, the monograph applies quantile regression to analyze the Value at Risk (VaR) of the Nikkei 225 stock index. In summary, this work presents a framework focused on estimation, asymptotic normality, statistical inference, and real-world applications of quantile regression methods.

1 different editions

Also available

Also from

Chen, Jau-Er

Also in

Business General