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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.
Getting started
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Package details |
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| Author | Leopoldo Catania [cre, aut] (<https://orcid.org/0000-0002-0981-1921>), Alessandra Luati [ctb] (<https://orcid.org/0000-0001-6407-9385>) |
| Maintainer | Leopoldo Catania <leopoldo.catania@econ.au.dk> |
| License | GPL-3 |
| Version | 0.1.2 |
| Package repository | View on CRAN |
| Installation |
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