Quantile regression estimation for VaR of P-GARCH processes

MaRDI QIDQ3132167zbMATH OpenFDO

Authors Biao Zhao, Zi-Long Zhao, Mu Feng

Publication date 29 January 2018

zbMATH Keywords

asymptotic normalityP-GARCHstrong consistencyVaR

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(8)

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• MCMC methods for quantile regression of GARCH models
• Composite quantile regression estimation for P-GARCH processes
• On some models for value-at-risk
• Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
• Risk-parameter estimation in volatility models
• Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
• GARCH Model Estimation Using Estimated Quadratic Variation

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