ARCH tests and quantile regressions
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Publication:4826350
DOI10.1080/0094965031000151178zbMath1052.62046OpenAlexW2114176237MaRDI QIDQ4826350
Publication date: 11 November 2004
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/0094965031000151178
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH ⋮ Backfitting and smooth backfitting for additive quantile models ⋮ Multiple quantile regression analysis of longitudinal data: heteroscedasticity and efficient estimation ⋮ Conditional quantile estimation by local logistic regression
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Least absolute error estimation in the presence of serial correlation
- Asymptotic behavior of regression quantiles in non-stationary, dependent cases
- Regression rank scores and regression quantiles
- Testing for conditional heteroskedasticity with misspecified alternative hypotheses
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- Generalized autoregressive conditional heteroscedasticity
- Conditional Heteroscedastic Time Series Models
- Trimmed Least Squares Estimation in the Linear Model
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Regression Quantiles
- Goodness of Fit and Related Inference Processes for Quantile Regression
- ASYMPTOTICALLY EFFICIENT MEDIAN REGRESSION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
- Inference on the Quantile Regression Process
- Preface
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