Codes


- Montes-Rojas, G. (2019). “Multivariate quantile impulse response functions,” forthcoming in Journal of Time Series Analysis. qirf.zip
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2019). “Tests of asset pricing with time-varying factor loads,” forthcoming in Journal of Applied Econometrics. JAE empirical results.zip
- Galvao, A., Juhl, T., Montes-Rojas, G. & Olmo, J. (2018). “Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns,” Journal of Financial Econometrics, 16(2), 211-243. Slope-QR.R
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2011). “Threshold quantile autoregressive models,” Journal of Time Series Analysis, 32(3), 253-267. TQAR_code.R