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

DOI10.1016/J.CSDA.2023.107702MaRDI QIDQ6168909zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.1016/J.CSDA.2023.107702

zbMATH Keywords

asymmetric Laplace distributionasymmetric student t distributionGARCHMarkov chain Monte Carlo methodsposterior odds ratioquantile regression

Mathematics Subject Classification ID

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

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Cites work

• A generalized class of skew distributions and associated robust quantile regression models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian causal effects in quantiles: accounting for heteroscedasticity
• Bayesian Measures of Model Complexity and Fit
• Bayesian quantile inference
• Bayesian quantile regression
• Common risk factors in the returns on stocks and bonds
• Equation of state calculations by fast computing machines
• GARCH models without positivity constraints: exponential or log GARCH?
• Generalized autoregressive conditional heteroscedasticity
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Marginal Likelihood From the Metropolis–Hastings Output
• Monte Carlo sampling methods using Markov chains and their applications
• Multi-regime nonlinear capital asset pricing models
• Quantile regression.
• Regression Quantiles
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Smooth transition quantile capital asset pricing models with heteroscedasticity

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