Quantile Regression Estimator for GARCH Models

DOI10.1111/j.1467-9469.2011.00759.xzbMath1259.62080arXiv1312.7375OpenAlexW1578815837MaRDI QIDQ4911963

Sangyeol Lee, Jungsik Noh

Publication date: 20 March 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.7375

zbMATH Keywords

asymptotic normalitynon-convex optimizationstrong consistencyvalue at riskreparametrization methodbracketing methodargmin sequence

Mathematics Subject Classification ID

Related Items (15)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Composite quantile regression estimation for P-GARCH processes ⋮ Test for conditional quantile change in GARCH models ⋮ Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation ⋮ Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ Bayesian inference for quantile autoregressive model with explanatory variables ⋮ Conditional quantile change test for time series based on support vector regression ⋮ Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models ⋮ Test for conditional quantile change in general conditional heteroscedastic time series models ⋮ Quantile regression estimation for discretely observed SDE models with compound Poisson jumps ⋮ Quantile Estimation of Regression Models with GARCH-X Errors ⋮ Inference for conditional value-at-risk of a predictive regression ⋮ Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity ⋮ Test for tail index constancy of GARCH innovations based on conditional volatility

Uses Software

• CAViaR

Cites Work

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• The Lindeberg-Levy Theorem for Martingales
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Testing parameter constancy in models with infinite variance errors.

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