Composite quantile regression estimation for P-GARCH processes

DOI10.1007/S11425-015-5115-0zbMATH Open1343.62075OpenAlexW2225243479MaRDI QIDQ295137FDOQ295137

Authors: Biao Zhao, Zhao Chen, Min Chen, Gui Ping Tao 

Publication date: 17 June 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-015-5115-0

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zbMATH Keywords

asymptotic normalitystrong consistencycomposite quantile regressionperiodic GARCH processstrictly periodic stationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Regression Quantiles
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Composite quantile regression and the oracle model selection theory
• Strict stationarity of generalized autoregressive processes
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Least absolute deviations estimation for ARCH and GARCH models
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• Probabilistic properties of periodic GARCH prosses
• On periodic and multiple autoregressions
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• Periodic Time Series Models
• Quantile regression estimator for GARCH models
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models

Cited In (6)

• Title not available (Why is that?)
• Quantile regression estimation for VaR of P-GARCH processes
• Weighted composite quantile regression estimation of DTARCH models
• Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
• Quantile regression estimator for GARCH models
• CQR-based inference for the infinite-variance nearly nonstationary autoregressive models

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