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Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25177
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Franke, Jürgen | | en_US |
| dc.contributor.author | | Stockis, Jean-Pierre | | en_US |
| dc.contributor.author | | Tadjuidje, Joseph | | en_US |
| dc.date.accessioned | | 2007-03-07 | | en_US |
| dc.date.accessioned | | 2009-07-23T14:44:31Z | | - |
| dc.date.available | | 2009-07-23T14:44:31Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25177 | | - |
| dc.description.abstract | | We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not require the specification of the innovation law. We prove consistency of those estimates and illustrate their good performance for light- and heavy-tailed distributions of the innovations with a small simulation study. As an economic application, we use the estimates for calculating the value at risk of some stock price series. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2007,005 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | C45 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | conditional quantile | | en_US |
| dc.subject.keyword | | time series | | en_US |
| dc.subject.keyword | | sieve estimate | | en_US |
| dc.subject.keyword | | neural network | | en_US |
| dc.subject.keyword | | qualitative threshold model | | en_US |
| dc.subject.keyword | | uniform consistency | | en_US |
| dc.subject.keyword | | value at risk | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Maßzahl | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Value at Risk | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Quantile sieve estimates for time series | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 525376372 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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