Quantile Autoregression

This is an archive page for serveral papers on quantile autoregression; there are three papers with Zhijie Xiao that have already, or will appear in JASA:

Quantile Autoregression .

Unit Root Quantile Autoregression Inference.

Conditional Quantile Estimation for GARCH Models .

and one paper with Zhijie and Xiaohong Chen in Econometric Journal:

Copula-Based Quantile Autoregression.

Slides for a talk in Rio on the first paper are also available here.
Comments are, of course, always welcome.