Hybrid quantile estimation for asymmetric power GARCH models

DOI10.1016/J.JECONOM.2020.05.005MaRDI QIDQ2116338zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
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• Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
• Inference in nonstationary asymmetric GARCH models
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• Risk-parameter estimation in volatility models
• Statistical inference for conditional quantiles in nonlinear time series models
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• The ZD-GARCH model: a new way to study 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

Describes a project that uses

Uses Software

• CAViaR

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