Conditional quantile estimation for GARCH model based on mixed-frequency data

DOI10.1007/S00362-025-01704-YMaRDI QIDQ6985611zbMATH OpenFDO

Authors Zhenming Zhang, Shishun Zhao, Jianhua Cheng, Jiamin Li

Publication date 12 May 2025

Published in Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

GARCH modelhigh-frequency datadiagnostic checkingmixed-frequency conditional quantile estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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