Learn R Programming

DMQ (version 0.1.2)

Dynamic Multiple Quantile (DMQ) Model

Description

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

Copy Link

Version

Install

install.packages('DMQ')

Monthly Downloads

35

Version

0.1.2

License

GPL-3

Maintainer

Leopoldo Catania

Last Published

October 28th, 2023

Functions in DMQ (0.1.2)

MomentsDMQ

Estimate conditional moments using DMQ
DMQ-package

Dynamic Multiple Quantiles model in R
fn.optim

A wrapper to the optim function.
SimulateDMQ

Simulate from the DMQ model
fn.solnp

A wrapper to the solnp function of the Rsolnp package of Ghalanos and Theussl (2016).
UpdateDMQ

Update filtered quantiles
ForecastDMQ

Forecast with univariate DMQ model
fn.DEoptim

A wrapper to the DEoptim function of the DEoptim package of Mullen et al. (2011).
MSFT

data: Microsoft Corporation logarithmic percentage returns from December 8, 2010 to November 15, 2018 for a total of T = 2000 observation downloaded from Yahoo finance.
EstimateDMQ

Estimate the Dynamic Multiple Quantile (DMQ) model.