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Quantile Regression on Quantile Ranges - A Threshold Approach

Kuan, CM; Michalopoulos, C; Xiao, ZJ

Michalopoulos, C (reprint author), Soochow Univ, Dept Econ, 56 Kuei Yang St,Sec 1, Taipei, Taiwan.

JOURNAL OF TIME SERIES ANALYSIS, 2017; 38 (1): 99

Abstract

We study, via quantile regression, time series models whose conditional distribution may change over different quantile range of a threshold variable.......

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