Statistical inference for conditional quantiles in nonlinear time series models
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Publication:888341
DOI10.1016/J.JECONOM.2015.03.037zbMATH Open1337.62280OpenAlexW3125060511MaRDI QIDQ888341FDOQ888341
Authors: Mike K. P. So, Ray S. W. Chung 
Publication date: 30 October 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.037
Recommendations
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (21)
- Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Statistical analysis of conditionally binomial nonlinear regression time series with discrete regressors
- Hybrid quantile estimation for asymmetric power GARCH models
- Nonparametric estimates for conditional quantiles of time series
- Nonstationary nonlinear quantile regression
- Large sample inference for conditional exponential families with applications to nonlinear time series
- Frontiers in time series and financial econometrics: an overview
- Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
- Copula-based nonlinear quantile autoregression
- Nonparametric inference for conditional quantiles of time series
- Conditional time-dependent nonparametric estimators with an application to healthcare production function
- Estimation and test for quantile nonlinear cointegrating regression
- Conditional empirical, quantile and difference processes for a large class of time series with applications
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- A quantile function approach to the distribution of financial returns following TGARCH models
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Title not available (Why is that?)
- A new quantile function based model for modeling price behaviors in financial markets
- Nonparametric inference of quantile curves for nonstationary time series
- On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
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