QUANTILE DOUBLE AUTOREGRESSION (Q5104481)

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scientific article; zbMATH DE number 7583892

Language	Label	Description	Also known as
English	QUANTILE DOUBLE AUTOREGRESSION	scientific article; zbMATH DE number 7583892

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scholarly article

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QUANTILE DOUBLE AUTOREGRESSION (English)

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10.1017/S026646662100030X

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Econometric Theory

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publication date

12 September 2022

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full work available at URL

https://arxiv.org/abs/1902.05813

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Mathematics Subject Classification ID

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zbMATH DE Number

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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On convergence of LAD estimates in autoregression with infinite variance

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Coherent Measures of Risk

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ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1

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Generalized autoregressive conditional heteroscedasticity

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Quantile Double AR Time Series Models for Financial Returns

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Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

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Quantile and Probability Curves Without Crossing

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M-estimation for autoregression with infinite variance

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Risk-parameter estimation in volatility models

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Threshold quantile autoregressive models

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Least absolute deviation estimates in autoregression with infinite variance

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Robust regression: Asymptotics, conjectures and Monte Carlo

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Non-standard inference for augmented double autoregressive models with null volatility coefficients

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Limiting distributions for \(L_1\) regression estimators under general conditions

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Quantile Autoregression

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Quantile Regression Estimator for GARCH Models

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Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach

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Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

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LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS

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Quantile Correlations and Quantile Autoregressive Modeling

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Estimation and Testing Stationarity for Double-Autoregressive Models

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Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

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Asymptotic inference for a nonstationary double AR(1) model

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ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

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On a measure of lack of fit in time series models

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Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models

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Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity

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Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

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Quantile Estimation of Regression Models with GARCH-X Errors

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Linear double autoregression

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Network vector autoregression

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Mathematics(1 entry)

mardi Publication:5104481

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