Hybrid quantile estimation for asymmetric power GARCH models

DOI10.1016/J.JECONOM.2020.05.005OpenAlexW3047736563MaRDI QIDQ2116338FDOQ2116338

Authors: Guochang Wang, Ke Zhu, Guodong Li, 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

zbMATH Keywords

non-stationarityquantile estimationasymmetric power GARCHstrict stationarity testingasymmetry testing

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Statistical inference for conditional quantiles in nonlinear time series models
• A Class of Nonlinear Arch Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Estimation and tests for power-transformed and threshold GARCH models
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• Augmented GARCH sequences: Dependence structure and asymptotics
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• Inference in nonstationary asymmetric GARCH models
• Risk-parameter estimation in volatility models
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
• The ZD-GARCH model: a new way to study heteroscedasticity
• Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity

Cited In (2)

• A new generalized exponentially weighted moving average quantile model and its statistical inference
• Portmanteau test for the asymmetric power GARCH model when the power is unknown

Uses Software

• CAViaR

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