A new generalized exponentially weighted moving average quantile model and its statistical inference
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Publication:6090552
DOI10.1016/j.jeconom.2023.105510MaRDI QIDQ6090552
Publication date: 17 November 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
conditional quantilevalue at riskgeneralized exponentially weighted moving average quantile modelquantile time series model
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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