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

DOI10.1177/1471082X19876371OpenAlexW2972070117WikidataQ127018053 ScholiaQ127018053MaRDI QIDQ3389299FDOQ3389299

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

MCMCquantile functiondensity forecastingthreshold GARCHfinancial returns

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (1)

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

Uses Software

• CAViaR
• gldex

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