HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH

DOI10.1111/JTSA.12089zbMATH Open1311.62132OpenAlexW1487152386MaRDI QIDQ2937711FDOQ2937711

Seon Jin Kim

Publication date: 12 January 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12089

zbMATH Keywords

hypothesis testingquantile regressionARCH modelconditional heteroscedasticity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Adaptive \(L\)-estimation for linear models
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
• Composite quantile regression and the oracle model selection theory
• Martingale Central Limit Theorems
• A note on L-estimates for linear models
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Efficient estimation for time-varying coefficient longitudinal models
• ARMA MODELS WITH ARCH ERRORS
• ARCH tests and quantile regressions

Cited In (1)

• M-estimation and linear hypothesis testing in the ARCH model

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