Threshold quantile autoregressive models (Q4979106)

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scientific article; zbMATH DE number 6304782

Language	Label	Description	Also known as
English	Threshold quantile autoregressive models	scientific article; zbMATH DE number 6304782

Statements

scholarly article

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Threshold quantile autoregressive models (English)

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Gabriel V. Montes-Rojas

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Antonio F. jun. Galvao

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Journal of Time Series Analysis

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publication date

16 June 2014

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zbMATH Keywords

nonlinear models

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quantile regression

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threshold models

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MaRDI profile type

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2010.00696.x

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Central limit theorems for empirical and \(U\)-processes of stationary mixing sequences

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An Empirical Quantile Function for Linear Models with | operatornameiid Errors

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Forecasting for quantile self-exciting threshold autoregressive time series models

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Quantile self-exciting threshold autoregressive time series models

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A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL

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Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model

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ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

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Limiting properties of the least squares estimator of a continuous threshold autoregressive model

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Quantile and Probability Curves Without Crossing

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Instrumental quantile regression inference for structural and treatment effect models

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Testing for sign and amplitude asymmetries using threshold autoregressions

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Non-Crossing Non-Parametric Estimates of Quantile Curves

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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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Inference in TAR Models

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Sample Splitting and Threshold Estimation

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Asymptotics for argmin processes: convexity arguments

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Regression Quantiles

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Quantile Autoregression

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Nonparametric regression under qualitative smoothness assumptions

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Testing for structural change in regression quantiles

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Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

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Testing for parameter stability in quantile regression models

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Threshold models in non-linear time series analysis

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Testing and Modeling Threshold Autoregressive Processes

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Threshold heteroskedastic models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1111/J.1467-9892.2010.00696.X

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Sitelinks

Mathematics(1 entry)

mardi Publication:4979106

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