QUANTILE PERIODOGRAM AND TIME‐DEPENDENT VARIANCE

DOI10.1111/jtsa.12065zbMath1311.62159OpenAlexW1754585309MaRDI QIDQ5176760

Ta-Hsin Li

Publication date: 3 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12065

zbMATH Keywords

spectrumheteroscedasticityquantile regressionperiodogramtrigonometricnon-stationary

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Nonlinear Spectral Analysis: A Local Gaussian Approach ⋮ The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series ⋮ A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modeling long memory in stock market volatility
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• Generalized autoregressive conditional heteroscedasticity
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Time Series with Mixed Spectra
• The Hurst effect under trends
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Laplace Periodogram for Time Series Analysis
• Matrix Analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Long-Term Memory in Stock Market Prices
• Quantile Periodograms
• Portfolio Analysis in a Stable Paretian Market

This page was built for publication: QUANTILE PERIODOGRAM AND TIME‐DEPENDENT VARIANCE