Statistical inference for conditional quantiles in nonlinear time series models
From MaRDI portal
Publication:888341
DOI10.1016/J.JECONOM.2015.03.037zbMath1337.62280OpenAlexW3125060511MaRDI QIDQ888341
Ray S. W. Chung, Mike K. P. So
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
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)
Related Items (7)
Stochastic tail index model for high frequency financial data with Bayesian analysis ⋮ Estimation and test for quantile nonlinear cointegrating regression ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ A quantile function approach to the distribution of financial returns following TGARCH models ⋮ Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models ⋮ Hybrid quantile estimation for asymmetric power GARCH models
Uses Software
Cites Work
- Confidence regions for high quantiles of a heavy tailed distribution
- Specification tests of parametric dynamic conditional quantiles
- Bayesian causal effects in quantiles: accounting for heteroscedasticity
- Generalized autoregressive conditional heteroscedasticity
- Stationarity and the existence of moments of a family of GARCH processes.
- Fitting an error distribution in some heteroscedastic time series models
- Estimation of multiple period expected shortfall and median shortfall for risk management
- Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- On Bayesian Modeling of Fat Tails and Skewness
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
- Regression Quantiles
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Forecasting for quantile self-exciting threshold autoregressive time series models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
- Quantile Autoregression
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Statistical inference for conditional quantiles in nonlinear time series models