Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
Work
Year: 2012
Type: article
Abstract: A smoothing spline is used to propose a novel model for the time-varying quantile of the univariate time series using a state space approach. A correlation is further incorporated between the dependen... more
Authors Yuta Kurose, Yasuhiro Omori
Institutions The University of Tokyo, Japan University of Economics
Cites: 35
Cited by: 4
Related to: 10
FWCI: 0.597
Citation percentile (by year/subfield): 73.32
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze