Hybrid quantile estimation for asymmetric power GARCH models
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Publication:2116338
DOI10.1016/j.jeconom.2020.05.005OpenAlexW3047736563MaRDI QIDQ2116338
Guodong Li, Ke Zhu, Guochang Wang, Wai Keung Li
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.09343
quantile estimationnon-stationarityasymmetric power GARCHstrict stationarity testingasymmetry testing
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Uses Software
Cites Work
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