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.