Quantile autoregressive conditional heteroscedasticity

DOI10.1093/JRSSSB/QKAD068MaRDI QIDQ6606099FDOQ6606099

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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