Quantile Cointegration
Posted: Mon Apr 08, 2019 8:16 am
I was looking for the code of the following papers related to estimation of Quantile cointegrating regression.
Kuriyama, N. (2015). Testing cointegration in quantile regressions with an application to the term structure of interest rates. Studies in Nonlinear Dynamics & Econometrics, 20(2), pp. 107-121. Retrieved 8 Apr. 2019, from doi:10.1515/snde-2013-0107
The paper and the code in written matlab is available at
https://www.degruyter.com/view/j/snde.a ... 3-0107.xml
Best Regards
Kuriyama, N. (2015). Testing cointegration in quantile regressions with an application to the term structure of interest rates. Studies in Nonlinear Dynamics & Econometrics, 20(2), pp. 107-121. Retrieved 8 Apr. 2019, from doi:10.1515/snde-2013-0107
The paper and the code in written matlab is available at
https://www.degruyter.com/view/j/snde.a ... 3-0107.xml
Best Regards