Tutorial on General Quantile Time Series Constructions

33 Pages Posted: 23 Oct 2017

See all articles by Gareth Peters

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science

Date Written: October 21, 2017

Abstract

This paper has two objectives, the first is to present a detailed overview in the form of a tutorial for the developments of several key quantile time series modelling approaches. The second objective is to develop a general framework to represent such quantile models in a unifying manner in order to easily develop extensions and connections between existing models that can then be developed to further extend these models in practice. The paper is not addressing the concerns of estimation of these models, as there is existing literature on these aspects in many settings, we provide references to relevant works on these aspects in several classes of model. Instead, the focus is rather to provide a unified framework to construct such models for practitioners, therefore the focus is instead on the properties of the models and links between such models from a constructive perspective.

Keywords: quantile time series, time series, non-parametric, parametric, regression, quantile function

Suggested Citation

Peters, Gareth, Tutorial on General Quantile Time Series Constructions (October 21, 2017). Available at SSRN: https://ssrn.com/abstract=3056728 or http://dx.doi.org/10.2139/ssrn.3056728

Gareth Peters (Contact Author)

Department of Actuarial Mathematics and Statistics, Heriot-Watt University ( email )

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University College London - Department of Statistical Science ( email )

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University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

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