Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
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Publication:3069899
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Cited in
(55)- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
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- Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition
- Estimation of value-at-risk using single index quantile regression
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- Nonparametric C- and D-vine-based quantile regression
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- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
- Quantile regression estimator for GARCH models
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- GMM quantile regression
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- scientific article; zbMATH DE number 5984107 (Why is no real title available?)
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- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- Statistical inference for conditional quantiles in nonlinear time series models
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
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