Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics

Heejoon Han, Whayoung Jung, Ji Hyung Lee

Research output: Working paper

Abstract

This article investigates the estimation and inference of quantile impulse response functions. We propose a new estimation method using the local projections by Jordà (2005). We establish consistency and asymptotic normality of the estimator, thereby enabling asymptotic inference. We also consider the confidence interval construction based on stationary bootstrap and prove its consistency. Confirmatory simulation results and empirical practices on Value-at-Risk dynamics are provided.
Original languageEnglish (US)
Number of pages50
DOIs
StatePublished - Oct 17 2019

Keywords

  • Quantile Impulse Response
  • Local Projection
  • Stationary Bootstrap
  • Value-at-Risk

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