Composite quantile regression estimation for P-GARCH processes

DOI10.1007/s11425-015-5115-0zbMath1343.62075OpenAlexW2225243479MaRDI QIDQ295137

Min Chen, Biao Zhao, Zhao Chen, Gui Ping Tao

Publication date: 17 June 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-015-5115-0

zbMATH Keywords

asymptotic normalitystrong consistencycomposite quantile regressionperiodic GARCH processstrictly periodic stationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

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