We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics*.
- Authors
Han, Heejoon; Jung, Whayoung; Lee, Ji Hyung
- Abstract
This article investigates the estimation and inference of quantile impulse response functions. We propose a new estimation method using the idea of local projections by Jordà (2005). We establish consistency and asymptotic normality of the estimator, thereby enabling asymptotic inference. We also consider the confidence interval construction based on the stationary bootstrap and prove its consistency. Confirmatory simulation results and empirical practices on value-at-risk dynamics are provided.
- Subjects
IMPULSE response; ASYMPTOTIC normality; VALUE at risk
- Publication
Journal of Financial Econometrics, 2024, Vol 22, Issue 1, p1
- ISSN
1479-8409
- Publication type
Article
- DOI
10.1093/jjfinec/nbac026