DMQ

Dynamic Multiple Quantile (DMQ) Model

CRAN Package

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.

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  • Depends3 packages
  • Imports1 package
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