Robust modelling of DTARCH models
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Publication:5703223
DOI10.1111/j.1368-423X.2005.00157.xzbMath1095.91048MaRDI QIDQ5703223
Publication date: 8 November 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
conditional heteroskedasticitymedian regressionmodel diagnostic checkingDouble-thresholdrobust portmanteau statistic
Related Items (7)
Robust and efficient estimation with weighted composite quantile regression ⋮ Spatial quantile estimation of multivariate threshold time series models ⋮ Variable selection via composite quantile regression with dependent errors ⋮ Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model ⋮ Double threshold autoregressive conditionally heteroscedastic model building by genetic algorithms ⋮ Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series ⋮ Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
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