Conditional quantile estimation for linear ARCH models with MIDAS components

DOI10.1007/978-3-030-78965-7_17MaRDI QIDQ7231745zbMATH OpenFDO

Authors Vincenzo Candila, Lea Petrella

Publication date 22 April 2026

Full work available at URL https://doi.org/10.1007/978-3-030-78965-7_17

zbMATH Keywords

mixed-frequency variablesquantile regressionvalue-at-risk

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites work

• Asymptotic Theory of Least Absolute Error Regression
• Bayesian tail risk interdependence using quantile regression
• Coherent measures of risk
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• MIDAS Regressions: Further Results and New Directions
• Regression Quantiles
• The Model Confidence Set

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