Quantile Double AR Time Series Models for Financial Returns

DOI10.1002/FOR.2261zbMath1397.62400OpenAlexW1484089328MaRDI QIDQ4687340

Yuzhi Cai, Jose Olmo, Gabriel V. Montes-Rojas

Publication date: 11 October 2018

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

Full work available at URL: https://eprints.soton.ac.uk/348641/1/quantile-djia-4.pdf

zbMATH Keywords

Bayesian methodsdensity forecastsquantile forecastsgeneralized lambda distributionMarkov chain Monte Carlo Bayesian methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (5)

On a vector double autoregressive model ⋮ Bayesian inference for a mixture double autoregressive model ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ A quantile function approach to the distribution of financial returns following TGARCH models ⋮ A General Quantile Function Model for Economic and Financial Time Series

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