Bayesian causal effects in quantiles: accounting for heteroscedasticity

DOI10.1016/J.CSDA.2008.12.014MaRDI QIDQ961391zbMATH OpenOpenAlexFDO

Authors Cathy W. S. Chen, Richard Gerlach, D. C. M. Wei

Publication date 30 March 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.12.014

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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• Volatility spillovers, interdependence and comovements: a Markov switching approach

Cited in

(12)

• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
• Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• scientific article; zbMATH DE number 7247634 (Why is no real title available?)
• Volatility modeling with leverage effect under Laplace errors
• Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• An efficient algorithm for structured sparse quantile regression
• Smooth transition quantile capital asset pricing models with heteroscedasticity
• A generalized class of skew distributions and associated robust quantile regression models
• Shrinkage Bayesian Causal Forests for Heterogeneous Treatment Effects Estimation
• Statistical inference for conditional quantiles in nonlinear time series models

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