Quantile Regression Estimator for GARCH Models

DOI10.1111/j.1467-9469.2011.00759.xzbMath1259.62080arXiv1312.7375MaRDI QIDQ4911963

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

asymptotic normality; non-convex optimization; strong consistency; value at risk; reparametrization method; bracketing method; argmin sequence

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Related Items

Quantile Estimation of Regression Models with GARCH-X Errors, Composite quantile regression estimation for P-GARCH processes, 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 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

Uses Software

• CAViaR

Cites Work

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