Quantile regression estimator for GARCH models

DOI10.1111/J.1467-9469.2011.00759.XMaRDI QIDQ4911963zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Jungsik Noh

Publication date 20 March 2013

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.7375

zbMATH Keywords

argmin sequenceasymptotic normalitybracketing methodnon-convex optimizationreparametrization methodstrong consistencyvalue at risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and multiple regime smooth transition autoregressive models. Some sufficient conditions are obtained to establish the identifiability of these models.

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Cited in

(23)

• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Inference for conditional value-at-risk of a predictive regression
• Test for conditional quantile change in GARCH models
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• MCMC methods for quantile regression of GARCH models
• Composite quantile regression estimation for P-GARCH processes
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
• QUANTILE DOUBLE AUTOREGRESSION
• Capital asset pricing model through quantile regression: an entropy approach
• Quantile estimation of regression models with GARCH-X errors
• GARCH Model Estimation Using Estimated Quadratic Variation
• Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
• Bayesian inference for quantile autoregressive model with explanatory variables
• Conditional quantile change test for time series based on support vector regression
• Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
• Test for conditional quantile change in general conditional heteroscedastic time series models
• Conditional quantile estimation for GARCH model based on mixed-frequency data
• Joint value-at-risk and expected shortfall regression for location-scale time series models
• Panel Quantile GARCH Models under Homogeneity
• Asymptotics for the quantile estimator of a weakly dependent process

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• CAViaR

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