Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
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Publication:2667134
DOI10.1016/j.cam.2021.113862zbMath1479.62079OpenAlexW3206655341MaRDI QIDQ2667134
Liming Shen, Yi Zhang, Sheng Wu, Jun Zhao
Publication date: 24 November 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2021.113862
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Monte Carlo methods (65C05)
Uses Software
Cites Work
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