Robust modelling of DTARCH models
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Recommendations
- Weighted composite quantile regression estimation of DTARCH models
- Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
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Cites work
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- Nonlinear time series. Nonparametric and parametric methods
Cited in
(9)- Robust and efficient estimation with weighted composite quantile regression
- Enablers for robust POD models
- Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
- Double threshold autoregressive conditionally heteroscedastic model building by genetic algorithms
- Variable selection via composite quantile regression with dependent errors
- Weighted composite quantile regression estimation of DTARCH models
- Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model
- Spatial quantile estimation of multivariate threshold time series models
- Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series
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