Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
A methodology is introduced for identifying dynamic regression or distributed lag models relating two time series. First, specification of a bivariate time-series model is discussed, and its ...
This is the twelfth in a series of lecture notes which, if tied together into a textbook, might be entitled “Practical Regression.” The purpose of the notes is to supplement the theoretical content of ...
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