Quantile Estimation of Regression Models with GARCH-X Errors

DOI10.5705/ss.202019.0003zbMath1475.62151OpenAlexW3037087369MaRDI QIDQ5155187

Zhijie Xiao, Guodong Li, Qian-Qian Zhu

Publication date: 6 October 2021

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202019.0003

zbMATH Keywords

bootstrap methodquantile regressionvalue-at-risktwo-step procedurejoint estimationGARCH-X errors

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (1)

QUANTILE DOUBLE AUTOREGRESSION

Uses Software

• CAViaR

Cites Work

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