Forecasting for quantile self-exciting threshold autoregressive time series models

DOI10.1093/BIOMET/ASP070MaRDI QIDQ5305481zbMATH OpenOpenAlexFDO

Authors Yuzhi Cai

Publication date 22 March 2010

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asp070

zbMATH Keywords

Monte Carlo methodforecasting methodquantile forecastpredictive density function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

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Cited in

(16)

• Single-index Thresholding in Quantile Regression
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Testing linearity against threshold effects: uniform inference in quantile regression
• Quantile regression for thinning-based INAR(1) models of time series of counts
• Threshold quantile autoregressive models
• Combining Forecasts via Simulations
• Testing for a unit root in a nonlinear quantile autoregression framework
• Quantile self-exciting threshold autoregressive time series models
• Spatial cluster detection with threshold quantile regression
• Markov switching quantile autoregression
• Forecasting with Multivariate Threshold Autoregressive Models
• A quantile function approach to the distribution of financial returns following TGARCH models
• A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
• Common threshold in quantile regressions with an application to pricing for reputation
• Quantile regression for dynamic panel data with fixed effects
• Statistical inference for conditional quantiles in nonlinear time series models

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