DMQ: Dynamic Multiple Quantile (DMQ) Model

Perform estimation, prediction, and simulations using the Dynamic Multiple Quantile model of Catania and Luati (2023) <doi:10.1016/j.jeconom.2022.11.002>. Can be used to estimate a set of conditional time-varying quantiles of a time series that do not cross.

Package details

AuthorLeopoldo Catania [cre, aut] (<>), Alessandra Luati [ctb] (<>)
MaintainerLeopoldo Catania <>
Package repositoryView on CRAN
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DMQ documentation built on Nov. 2, 2023, 6 p.m.