Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models (Q2010462)
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scientific article; zbMATH DE number 7137552
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| English | Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models |
scientific article; zbMATH DE number 7137552 |
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Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models (English)
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27 November 2019
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DTARCH model
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weighted composite quantile regression
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modified likelihood ratio test
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restricted WCQR estimators
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unrestricted WCQR estimators
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double-threshold autoregressive conditional heteroscedastic (DTARCH) model
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0.8749951124191284
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0.8277904391288757
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0.7947956919670105
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0.75030118227005
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