Quantile autoregressive conditional heteroscedasticity

DOI10.1093/JRSSSB/QKAD068MaRDI QIDQ6606099zbMATH OpenFDO

Authors Qianqian Zhu, Songhua Tan, Yao Zheng, Guodong Li

Publication date 16 September 2024

Published in Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

zbMATH Keywords

GARCH modelcomposite quantile regressionstrict stationarityconditional quantile estimationTukey-lambda distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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