2008/03/17 by Efang Kong, Kong, Efang, Yingcun Xia +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Risk and Portfolio Optimization #Statistical Methods and Inference #stat.ME
paper · pdf · doi:10.48550/arxiv.0803.2474
32pages
openalex publication_date 2008/03/17 · arxiv created 2008/09/24 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/04
The single-index model is one of the most popular semiparametric models in Econometrics. In this paper, we define a quantile regression single-index model, which includes the single-index structure for conditional mean and for conditional variance.