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Quantile Regression Estimator for GARCH Models - MaRDI portal

Quantile Regression Estimator for GARCH Models (Q4911963)

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scientific article; zbMATH DE number 6147322
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English
Quantile Regression Estimator for GARCH Models
scientific article; zbMATH DE number 6147322

    Statements

    title
    Quantile Regression Estimator for GARCH Models (English)
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    author
    Sangyeol Lee
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    Jungsik Noh
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    publication date
    20 March 2013
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    zbMATH Keywords
    argmin sequence
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    asymptotic normality
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    bracketing method
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    non-convex optimization
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    reparametrization method
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    strong consistency
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    value at risk
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    cites work
    Q4836494
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    Q4114551
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    Regression Quantiles
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    Q3552956
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62G08
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    62G20
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    65C60
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    zbMATH DE Number
    6147322
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    OpenAlex ID
    W1578815837
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    arXiv ID
    1312.7375
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