Essays on the modelling of quantiles for forecasting and risk estimation
This thesis examines the use of quantile methods to better estimate the time-varying conditional asset return distribution. The motivation for this is to contribute to improvements in the time series forecasting by taking into account some features of financial returns. We first consider a single qu...
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University of Kent
2015
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.676881 |