Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

Successful investing requires the ability to distinguish long-term trends from the short-term noise that moves stock prices on a minute-to-minute basis. One way to tune out the random oscillations and ...

1. Difference Equations -- 2. Lag Operators -- 3. Stationary ARMA Processes -- 4. Forecasting -- 5. Maximum Likelihood Estimation -- 6. Spectral Analysis -- 7. Asymptotic Distribution Theory -- 8.