4 papers
Parametric quantile autoregressive conditional duration models with application to intraday value-at-risk
Helton Saulo, Suvra Pal, Rubens Souza +2
The modeling of high-frequency data that qualify financial asset transactions has been an area of relevant interest among statisticians and econometricians -- above all, the analys…
Parametric quantile autoregressive moving average models with exogenous terms applied to Walmart sales data
Alan Dasilva, Helton Saulo, Roberto Vila +2
Parametric autoregressive moving average models with exogenous terms (ARMAX) have been widely used in the literature. Usually, these models consider a conditional mean or median dy…
Scale-mixture Birnbaum-Saunders quantile regression models applied to personal accident insurance data
Alan Dasilva, Helton Saulo, Roberto Vila +1
The modeling of personal accident insurance data has been a topic of extreme relevance in the insurance literature. This kind of data often exhibits positive skewness and heavy tai…
Log-symmetric quantile regression models
Helton Saulo, Alan Dasilva, Víctor Leiva +1
Regression models based on the log-symmetric family of distributions are particularly useful when the response is strictly positive and asymmetric. In this paper, we propose a clas…