Copula-Based Nonlinear Quantile Autoregression

Xiaohong Chen (), Roger Koenker () and Zhijie Xiao
Additional contact information
Roger Koenker: University of Illinois at Urbana-Champaign

No 691, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed quantile estimators are established under mild conditions, allowing for global misspecification of parametric copulas and marginals, and without assuming any mixing rate condition. These results lead to a general framework for inference and model specification testing of extreme conditional value-at-risk for financial time series data.

Keywords: Quantile autoregression; Copula; Ergodic nonlinear Markov models (search for similar items in EconPapers)
JEL-codes: C10 C13 C22 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2008-10-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://fmwww.bc.edu/EC-P/wp691.pdf main text (application/pdf)

Related works:
Journal Article: Copula-based nonlinear quantile autoregression (2009)
Working Paper: Copula-Based Nonlinear Quantile Autoregression (2008)
Working Paper: Copula-based nonlinear quantile autoregression (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:691

Access Statistics for this paper

More papers in Boston College Working Papers in Economics from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().