Composite quantile regression estimation for P-GARCH processes

DOI10.1007/S11425-015-5115-0MaRDI QIDQ295137zbMATH OpenOpenAlexFDO

Authors Biao Zhao, Zhao Chen, Min Chen, Gui Ping Tao

Publication date 17 June 2016

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-015-5115-0

zbMATH Keywords

asymptotic normalitystrong consistencycomposite quantile regressionperiodic GARCH processstrictly periodic stationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• Composite quantile regression and the oracle model selection theory
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Least absolute deviations estimation for ARCH and GARCH models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On periodic and multiple autoregressions
• Periodic Time Series Models
• Probabilistic properties of periodic GARCH prosses
• Quantile regression estimator for GARCH models
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• Regression Quantiles
• Strict stationarity of generalized autoregressive processes
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• Weak convergence and empirical processes. With applications to statistics

Cited in

(6)

• scientific article; zbMATH DE number 7448214 (Why is no real title available?)
• Quantile regression estimation for VaR of P-GARCH processes
• Weighted composite quantile regression estimation of DTARCH models
• Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
• Quantile regression estimator for GARCH models
• CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

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