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Reduced form vector directional quantiles
(Elsevier Inc, 2017-06)
In this paper, we develop a reduced form multivariate quantile model, using a directional quantile framework. The proposed model is the solution to a collection of directional quantile models for a fixed orthonormal basis, ...
Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
(Escola de Pós-Graduação em Economia da FGV, 2006-11-01)
In this paper we investigate fiscal sustainability by using a quantile autoregression (QAR) model. We propose a novel methodology to separate periods of nonstationarity from stationary ones, which allows us to identify ...
Multivariate Quantile Impulse Response Functions
(Wiley Blackwell Publishing, Inc, 2019-08)
A reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects of macroeconomic shocks. This framework is used for forecasting and for constructing quantile impulse response ...
The asymmetric behavior of the U.S. public debt
(Escola de Pós-Graduação em Economia da FGV, 2005-07-01)
In this paper we re-analyze the question of the U.S. public debt sustainability by using a quantile autoregression model. This modeling allows for testing whether the behavior of U.S. public debt is asymmetric or not. Our ...
Discrete-time volatility forecasting: A quantile regression approachPrevisão de volatilidade a tempo discreto: Uma abordagem via regressão quantílica
(Lociedade Brasileira de Finanças, 2020)
An empirical evaluation of structural changes in quantile autoregressive models
(Universidade Federal de PernambucoUFPEBrasilPrograma de Pos Graduacao em Estatistica, 2019)
Predicción de islas de calor urbano superficial en el Área Metropolitana de Trujillo (2017-2025) – Perú
(Universidad Peruana UniónPE, 2022-04-25)
In this work, land surface temperature (LST) from moderate resolution Imaging Spectroradiometer (MODIS) sensor was used for the estimation data for 2001 to 2016 period. Forecasting of LST and identification of surface urban ...
Intervalos de predição no modelo beta autorregressivo de médias móveis
(Universidade Federal de Santa MariaBREngenharia de ProduçãoUFSMPrograma de Pós-Graduação em Engenharia de Produção, 2016-02-25)
Usual point and interval forecasting based on the autoregressive integrated moving average
models (ARIMA) may not be suitable for modelling variables defined over the interval
(0, 1). In fact, such forecasting effect ...