DMQ: Dynamic Multiple Quantile (DMQ) Model
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.
Version: |
0.1.2 |
Depends: |
R (≥ 3.6.0), Rsolnp, DEoptim, MASS, parallel |
Imports: |
Rcpp (≥ 0.12.17) |
LinkingTo: |
Rcpp, RcppArmadillo |
Published: |
2023-10-28 |
Author: |
Leopoldo Catania
[cre, aut],
Alessandra Luati
[ctb] |
Maintainer: |
Leopoldo Catania <leopoldo.catania at econ.au.dk> |
License: |
GPL-3 |
NeedsCompilation: |
yes |
Citation: |
DMQ citation info |
Materials: |
ChangeLog |
CRAN checks: |
DMQ results [issues need fixing before 2025-10-16] |
Documentation:
Downloads:
Linking:
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