Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models

DOI10.1007/S11425-016-9321-XMaRDI QIDQ2010462zbMATH OpenOpenAlexFDO

Authors Xiaoqian Liu, Xin-Yuan Song, Yong Zhou

Publication date 27 November 2019

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-016-9321-x

zbMATH Keywords

weighted composite quantile regressionmodified likelihood ratio testdouble-threshold autoregressive conditional heteroscedastic (DTARCH) modelDTARCH modelrestricted WCQR estimatorsunrestricted WCQR estimators

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Weighted composite quantile regression estimation of DTARCH models
• Robust modelling of DTARCH models
• Hypothesis testing for ARCH models: a multiple quantile regressions approach
• scientific article; zbMATH DE number 1423406
• Quasi-maximum exponential likelihood estimation for double-threshold GARCH models

Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 42417 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1301874 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Composite quantile regression and the oracle model selection theory
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Descriptive statistics for non-parametric models. III: Dispersion
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Generalized autoregressive conditional heteroscedasticity
• Local Composite Quantile Regression Smoothing: An Efficient and Safe Alternative to Local Polynomial Regression
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Oracle model selection for nonlinear models based on weighted composite quantile regression
• Regression Quantiles
• Robust modelling of DTARCH models
• Stable Paretian models in finance
• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
• Weighted composite quantile regression estimation of DTARCH models

Cited in

(2)

• Weighted composite quantile regression estimation of DTARCH models
• Robust modelling of DTARCH models

This page was built for publication: Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010462)