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General Quantile Time Series Regressions for Applications in Population Demographics
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1994Modelling of extremal events in insurance and finance3,574 cited
  • 1991Brownian motion and stochastic calculus2,337 cited
  • 2004CAViaR2,210 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,763 cited
  • 1984Some Generalized Functions for the Size Distribution of Income667 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series565 cited
  • 1984ARMA MODELS WITH ARCH ERRORS282 cited
  • 2006A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital269 cited
  • 1996Conditional Quantile Estimation and Inference for Arch Models264 cited
  • 1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles166 cited
  • 2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT125 cited
  • 2007A Double AR(p) Model: Structure and Estimation88 cited
  • 2015Fundamental Aspects of Operational Risk and Insurance Analytics64 cited
  • 2012Quantile Regression Estimator for GARCH Models

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47 cited
  • 2015Advances in Heavy Tailed Risk Modeling39 cited
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