Semiparametric modeling of multiple quantiles

Leopoldo Catania and Alessandra Luati

Journal of Econometrics, 2023, vol. 237, issue 2

Abstract: We develop a semiparametric model to track a large number of quantiles of a time series. The model satisfies the condition of non-crossing quantiles and the defining property of fixed quantiles. A key feature of the specification is that the updating scheme for time-varying quantiles at each probability level is based on the gradient of the check loss function. Theoretical properties of the proposed model are derived such as weak stationarity of the quantile process and consistency of the estimators of the fixed parameters. The model can be applied for filtering and prediction. We also illustrate a number of possible applications such as: (i) semiparametric estimation of dynamic moments of the observables, (ii) density prediction, and (iii) quantile predictions.

Keywords: Dynamic quantiles; Score driven models; Risk management (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002044

DOI: 10.1016/j.jeconom.2022.11.002

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