Quantile estimation of regression models with GARCH-X errors

DOI10.5705/SS.202019.0003MaRDI QIDQ5155187zbMATH OpenOpenAlexFDO

Authors Guodong Li, Zhijie Xiao, Qianqian Zhu

Publication date 6 October 2021

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202019.0003

zbMATH Keywords

bootstrap methodGARCH-X errorsjoint estimationquantile regressiontwo-step procedurevalue-at-risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• A multiple indicators model for volatility using intra-daily data
• Analysis of financial time series
• ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bootstrap inference for GARCH models by the least absolute deviation estimation
• Composite quantile regression and the oracle model selection theory
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Conditional value-at-risk: semiparametric estimation and inference
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3163319 (Why is no real title available?)
• scientific article; zbMATH DE number 5243763 (Why is no real title available?)
• Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
• Linear double autoregression
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• Quantile regression estimator for GARCH models
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regression Quantiles
• Risk-parameter estimation in volatility models

Cited in

(14)

• Quantile regression for location-scale time series models with conditional heteroscedasticity
• MCMC methods for quantile regression of GARCH models
• Composite quantile regression estimation for P-GARCH processes
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• A tobit model with garch errors
• Quantile regression estimator for GARCH models
• QUANTILE DOUBLE AUTOREGRESSION
• GARCH Model Estimation Using Estimated Quadratic Variation
• Variable selection for quantile autoregressive model: Bayesian methods versus classical methods
• Model-averaging-based semiparametric modeling for conditional quantile prediction
• Quantile regression estimation for Poisson autoregressive models
• Panel Quantile GARCH Models under Homogeneity
• A two-step estimating approach for heavy-tailed AR models with nonzero median GARCH-type noises
• Asymptotics of CoVaR inference in two-quantile-regression

Describes a project that uses

Uses Software

• CAViaR

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