Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
DOI10.1007/S11425-016-9321-XzbMATH Open1434.62054OpenAlexW2978940206MaRDI QIDQ2010462FDOQ2010462
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
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weighted composite quantile regressionmodified likelihood ratio testdouble-threshold autoregressive conditional heteroscedastic (DTARCH) modelDTARCH modelrestricted WCQR estimatorsunrestricted WCQR estimators
Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
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- Weighted composite quantile regression estimation of DTARCH models
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- Robust modelling of DTARCH models
Cited In (2)
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