Series: Working Papers. 1228.
Author: Siegfried Hörmann , Hiroaki Ogata , David Veredas and Yves Dominicy
Exchange rates
- Quantitative methods
- International Economy
- Credit
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Abstract
We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given.