Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis

DOI10.1016/J.CSDA.2023.107702MaRDI QIDQ6168909FDOQ6168909

Authors: Kai Y. K. Wang, Cathy W. S. Chen, Mike K. P. So 

Publication date: 11 July 2023

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

quantile regressionGARCHMarkov chain Monte Carlo methodsasymmetric Laplace distributionposterior odds ratioasymmetric student t distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

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• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
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• Equation of State Calculations by Fast Computing Machines
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• Smooth transition quantile capital asset pricing models with heteroscedasticity
• GARCH models without positivity constraints: exponential or log GARCH?
• Multi-regime nonlinear capital asset pricing models
• Bayesian causal effects in quantiles: accounting for heteroscedasticity

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