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 ORCID iD [cre, aut], Alessandra Luati ORCID iD [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

Documentation:

Reference manual: DMQ.pdf

Downloads:

Package source: DMQ_0.1.2.tar.gz
Windows binaries: r-prerel: DMQ_0.1.2.zip, r-release: DMQ_0.1.2.zip, r-oldrel: DMQ_0.1.2.zip
macOS binaries: r-prerel (arm64): DMQ_0.1.2.tgz, r-release (arm64): DMQ_0.1.2.tgz, r-oldrel (arm64): DMQ_0.1.2.tgz, r-prerel (x86_64): DMQ_0.1.2.tgz, r-release (x86_64): DMQ_0.1.2.tgz

Linking:

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