2 papers
econ.EM2026
Estimation risk in conditional expectiles
Marcelo Fernandes, Vitor Henriques, Eduardo Fonseca Mendes
We establish the consistency and asymptotic normality of a two-step estimator of conditional expectiles in the context of conditional scale models. We first estimate the conditiona…
econ.EM2019
Smoothing quantile regressions
Marcelo Fernandes, Emmanuel Guerre, Eduardo Horta
We propose to smooth the entire objective function, rather than only the check function, in a linear quantile regression context. Not only does the resulting smoothed quantile regr…