Hybrid quantile estimation for asymmetric power GARCH models

DOI10.1016/j.jeconom.2020.05.005OpenAlexW3047736563MaRDI QIDQ2116338

Guodong Li, Ke Zhu, Guochang Wang, Wai Keung Li

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.09343

zbMATH Keywords

quantile estimationnon-stationarityasymmetric power GARCHstrict stationarity testingasymmetry testing

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

A new generalized exponentially weighted moving average quantile model and its statistical inference

Uses Software

• CAViaR

Cites Work

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• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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