Dynamic Quantile Function Models

  title={Dynamic Quantile Function Models},
  author={Wilson Ye Chen and Gareth W. Peters and Richard H. Gerlach and Scott Anthony Sisson},
  journal={ERN: Value-at-Risk (Topic)},
We offer a novel way of thinking about the modelling of the time-varying distributions of financial asset returns. Borrowing ideas from symbolic data analysis, we consider data representations beyond scalars and vectors. Specifically, we consider a quantile function as an observation, and develop a new class of dynamic models for quantile-function-valued (QF-valued) time series. In order to make statistical inferences and account for parameter uncertainty, we propose a method whereby a… 
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