J.G. de Gooijer
- A multivariate quantile predictor
- Communications in Statistics: Theory and Methods
- Volume | Issue number
- 35 | 1
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
We introduce a nonparametric quantile predictor for multivariate time series via generalizing the well-known univariate conditional quantile into a multivariate setting for dependent data. Applying the multivariate predictor to predicting tail conditional quantiles from foreign exchange daily returns, it is observed that the accuracy of extreme tail quantile predictions can be greatly improved by incorporating interdependence between the returns in a bivariate framework. As a special application of the multivariate quantile predictor, we also introduce a so-called joint-horizon quantile predictor that is used to produce multi-step quantile predictions in one-go from univariate time series realizations. A simulation example is discussed to illustrate the relevance of the joint-horizon approach.
Keywords: Conditional quantile; Joint-horizon prediction; Kernel; Multivariate; Single-horizon prediction; Time series
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