Study on the Moment and Quantile Functions of Conditional Model of Bivariate Markov Time Series of Order 1

Both of temporal dependence and contemporaneous dependence are primary dependence relationship of time series vector. In economic and financial applications, one is often interested in estimating or forecasting certain characteristics of a time series given known conditions. Considering both classes of dependence and constructing conditional dependence model of bivariate Markov time series of order 1. Based on this conditional model, the moment and quantile functions of bivariate vector and univariate series are studied and a simulating way for the q th conditional quantile of bivariate vector is proposed. They are useful of measure of portfolio risk in the risk management.