MCMC methods for quantile regression of GARCH models

MaRDI QIDQ2824380zbMATH OpenFDO

Authors Dongfang Li, Yayong Tang

Publication date 6 October 2016

Published in Journal of Sichuan University. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

GARCH modelsMCMC methodMetropolis-Hastings algorithmquantile regressionTGARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Statistical methods; risk measures (91G70)

Recommendations

• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Quantile regression estimator for GARCH models
• Comparison of MCMC Methods for Estimating GARCH Models
• Quantile estimation of regression models with GARCH-X errors
• Quantile regression estimation for VaR of P-GARCH processes

Cited in

(5)

• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
• Monte Carlo posterior integration in GARCH models
• Comparison of MCMC Methods for Estimating GARCH Models
• Quantile regression estimator for GARCH models
• Capital asset pricing model through quantile regression: an entropy approach

This page was built for publication: MCMC methods for quantile regression of GARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2824380)