Statistical inference for conditional quantiles in nonlinear time series models
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
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- scientific article; zbMATH DE number 2161992 (Why is no real title available?)
- scientific article; zbMATH DE number 3415209 (Why is no real title available?)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian causal effects in quantiles: accounting for heteroscedasticity
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Confidence regions for high quantiles of a heavy tailed distribution
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
- Estimation of multiple period expected shortfall and median shortfall for risk management
- Fitting an error distribution in some heteroscedastic time series models
- Forecasting for quantile self-exciting threshold autoregressive time series models
- Generalized autoregressive conditional heteroscedasticity
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- On Bayesian Modeling of Fat Tails and Skewness
- Quantile Autoregression
- Quantile regression.
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Regression Quantiles
- Specification tests of parametric dynamic conditional quantiles
- Stationarity and the existence of moments of a family of GARCH processes.
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
Cited in
(21)- Nonparametric estimates for conditional quantiles of time series
- Statistical analysis of conditionally binomial nonlinear regression time series with discrete regressors
- Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Conditional empirical, quantile and difference processes for a large class of time series with applications
- Hybrid quantile estimation for asymmetric power GARCH models
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- A quantile function approach to the distribution of financial returns following TGARCH models
- Frontiers in time series and financial econometrics: an overview
- Copula-based nonlinear quantile autoregression
- On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
- Nonstationary nonlinear quantile regression
- Conditional time-dependent nonparametric estimators with an application to healthcare production function
- Estimation and test for quantile nonlinear cointegrating regression
- Nonparametric inference for conditional quantiles of time series
- A new quantile function based model for modeling price behaviors in financial markets
- Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
- scientific article; zbMATH DE number 7070761 (Why is no real title available?)
- Large sample inference for conditional exponential families with applications to nonlinear time series
- Nonparametric inference of quantile curves for nonstationary time series
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
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