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Specification Tests of Parametric Dynamic Conditional Quantiles
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CAEPR Working Paper #2008-021 Specification Tests of Parametric Dynamic Conditional Quantiles Juan Carlos Escanciano Indiana University Bloomington Carlos Velasco Universidad Carlos III de Madrid August 15, 2008 This paper can be downloaded without charge from the Social Science Research Network electronic library at: http://ssrn.com/abstract=1228528 . The Center for Applied Economics and Policy Research resides in the Department of Economics at Indiana University Bloomington. CAEPR can be found on the Internet at: http://www.indiana.edu/~caepr . CAEPR can be reached via email at [email protected] or via phone at 812-855-4 050. ©2008 by Juan Carlos Escanciano and Carlos Velasco. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.
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