Quantile Autoregression
Mostrando 1-4 de 4 artigos, teses e dissertações.
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1. EMPIRICAL ANALYSIS OF THE QUANTILE AUTOREGRESSION MODELS / ANÁLISE EMPÍRICA DOS MODELOS DE AUTO-REGRESSÃO QUANTÍLICA
Autoregressive models (AR(p)) for time series assume that the series dynamics has a linear dependence on past observations up to a lag p, plus an independent and identically distributed (i.i.d.) random error. Quantile autoregressive models (QAR(p)) generalize the AR(p) by allowing different autoregressive coefficients for different quantiles of the condition
Publicado em: 2007
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2. Forecasting Intraday returns using Kernel regression / Previsão de retornos intradiários através de regressões usando funções-núcleo
The contributions of this paper are twofold. First we discuss and apply a method for the eva luation of non linear regressions in forecasting intraday returns of Brazilian stocks, with the aim of maximizing the return of a simulated trading portfolio. Second, Kernel regressions associated with Nearest Neighbors sample partitioning are carried out. Some indep
Publicado em: 2007
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3. Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
pt
Fundação Getulio Vargas. Publicado em: 01/11/2006
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4. Asymmetric behavior of the U.S public debt
Our main goal in this paper was to measure how e¢ cient is risk sharing between countries. In order to do so, we have used a international risk sharIn this paper we re-analyze the question of the U.S. public debt sustainability by using a quantile autoregression model. This modeling allows for testing whether the behavior of U.S. public debt is asymmetric o
Publicado em: 27/05/2005