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A Quantile Nelson-Siegel model - arXiv.org
Where m denotes the time to maturity; that is, given a set of parameters, the yield curve is a deterministic function of maturity. Diebold and Li (2006) pioneered the stochastic …
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M-Quantile Estimation for GARCH Models
Jul 2, 2023 In this paper, we propose an M-quantile approach, which combines quantile and M-regression to obtain a robust estimator of the conditional volatility when the data …
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Parametric Modelling of M-Quantile Regression …
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Quantile - Wikipedia
Quantile. Probability density of a normal distribution, with quartiles shown. The area below the red curve is the same in the intervals (−∞,Q1), (Q1,Q2), (Q2,Q3), and (Q3,+∞). In …
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M-Quantile Estimation for GARCH Models - Springer
M-regression and quantile methods have been suggested to estimate generalized autoregressive conditionally heteroscedastic (GARCH) models. In this paper, we …
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Scale estimation and data-driven tuning constant selection for M ...
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Penalized high-dimensional M-quantile regression: From
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A spatial semiparametric M-quantile regression for hedonic price ...
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Section 7. Conclusion - Statistics Canada
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Expectiles and M-quantiles are quantiles - ScienceDirect
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A New Definition of Multivariate M-quantiles - Springer
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