Quantile periodogram and time-dependent variance

DOI10.1111/JTSA.12065MaRDI QIDQ5176760zbMATH OpenOpenAlexFDO

Authors Ta-Hsin Li

Publication date 3 March 2015

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12065

zbMATH Keywords

heteroscedasticitynon-stationaryperiodogramquantile regressionspectrumtrigonometric

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3200151 (Why is no real title available?)
• Laplace Periodogram for Time Series Analysis
• Long-Term Memory in Stock Market Prices
• Matrix Analysis
• Modeling long memory in stock market volatility
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Portfolio Analysis in a Stable Paretian Market
• Quantile periodograms
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• The Hurst effect under trends
• Time series with mixed spectra

Cited in

(7)

• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Quantile periodograms
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• From zero crossings to quantile-frequency analysis of time series with an application to nondestructive evaluation
• Expectile periodogram
• Spline Autoregression Method for Estimation of Quantile Spectrum
• A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network

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