Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
From MaRDI portal
Publication:3069899
DOI10.1198/JASA.2009.TM09170zbMATH Open1205.62136OpenAlexW1991620995MaRDI QIDQ3069899FDOQ3069899
Authors: Zhijie Xiao, Roger Koenker 
Publication date: 1 February 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2009.tm09170
Recommendations
- Quantile estimation of regression models with GARCH-X errors
- Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
- Quantile regression estimator for GARCH models
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Statistical inference for conditional quantiles in nonlinear time series models
Cited In (55)
- EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
- Conditional quantile analysis for realized GARCH models
- Hypothesis testing for ARCH models: a multiple quantile regressions approach
- MCMC methods for quantile regression of GARCH models
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
- Conditional quantile change test for time series based on support vector regression
- QUANTILE DOUBLE AUTOREGRESSION
- Quantile regression estimation for VaR of P-GARCH processes
- Hybrid quantile estimation for asymmetric power GARCH models
- The asymptotic behaviors for autoregression quantile estimates
- Self-weighted quantile estimation of autoregressive conditional duration model
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Variable selection via composite quantile regression with dependent errors
- Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
- Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
- Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition
- Composite quantile regression estimation for P-GARCH processes
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- Estimation of value-at-risk using single index quantile regression
- Nonparametric C- and D-vine-based quantile regression
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Averaged Autoregression Quantiles in Autoregressive Model
- GARCH Model Estimation Using Estimated Quadratic Variation
- Test for conditional quantile change in GARCH models
- Quantile estimation of regression models with GARCH-X errors
- Capital asset pricing model through quantile regression: an entropy approach
- Test for conditional quantile change in general conditional heteroscedastic time series models
- Linear double autoregression
- D-vine copula based quantile regression
- Risk-parameter estimation in volatility models
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
- Right-tail information in financial markets
- Estimación bayesiana de un Modelo Garch-M Bivariado
- Estimation and test for quantile nonlinear cointegrating regression
- Quantile regression estimator for GARCH models
- Markov switching quantile autoregression
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- GMM quantile regression
- Title not available (Why is that?)
- Risk factor extraction with quantile regression method
- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- A quantile function approach to the distribution of financial returns following TGARCH models
- Measurement of risk based on QR-GARCH-EVT model
- On the measurement and treatment of extremes in time series
- Multiple quantile regression analysis of longitudinal data: heteroscedasticity and efficient estimation
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- Statistical inference for conditional quantiles in nonlinear time series models
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- A Bayesian Quantile Time Series Model for Asset Returns
- Efficient Estimation for Models With Nonlinear Heteroscedasticity
- Extreme Quantile Estimation for Autoregressive Models
- HAC Covariance Matrix Estimation in Quantile Regression
- Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
This page was built for publication: Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3069899)
