This article investigates the estimation and inference of quantile impulse response functions. We propose a new estimation method using the idea of 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 the stationary bootstrap and prove its consistency. Confirmatory simulation results and empirical practices on value-at-risk dynamics are provided.

中文翻译：

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通过局部投影估计和推断分位数脉冲响应函数：在 VaR 动力学中的应用

本文研究了分位数脉冲响应函数的估计和推断。我们利用 Jordà (2005) 的局部投影思想提出了一种新的估计方法。我们建立了估计量的一致性和渐近正态性，从而实现渐近推理。我们还考虑了基于平稳自举的置信区间构造，并证明了其一致性。提供了关于风险价值动态的验证性模拟结果和经验实践。