A quantile function approach to the distribution of financial returns following TGARCH models

DOI10.1177/1471082X19876371MaRDI QIDQ3389299zbMATH OpenOpenAlexWikidataFDO

Authors Yuzhi Cai, Guodong Li

Publication date 10 May 2021

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/1471082x19876371

zbMATH Keywords

density forecastingfinancial returnsMCMCquantile functionthreshold GARCH

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(1)

• Non-crossing quantile double-autoregression for the analysis of streaming time series data

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Uses Software

• CAViaR
• gldex

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