On conditional scale function: estimate and asymptotic properties (Q2460769)
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scientific article; zbMATH DE number 5211118
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| English | On conditional scale function: estimate and asymptotic properties |
scientific article; zbMATH DE number 5211118 |
Statements
On conditional scale function: estimate and asymptotic properties (English)
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13 November 2007
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conditional quantile
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kernel estimate
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quantile autoregression
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ARCH
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QARCH
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time series
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consistency
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asymptotic normality
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value-at-risk
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0.998525321483612
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0.8602137565612793
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0.8450501561164856
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0.8036863803863525
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0.8034828901290894
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