Dynamic Multiple Quantile (DMQ) Model
Dynamic Multiple Quantiles model in R
Estimate the Dynamic Multiple Quantile (DMQ) model.
A wrapper to the DEoptim function of the DEoptim package of Mullen e...
A wrapper to the optim function.
A wrapper to the solnp function of the Rsolnp package of Ghalanos an...
Forecast with univariate DMQ model
Estimate conditional moments using DMQ
Simulate from the DMQ model
Update filtered quantiles
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.