Threshold quantile autoregressive models

DOI10.1111/j.1467-9892.2010.00696.xzbMath1290.62072OpenAlexW1517622645MaRDI QIDQ4979106

Jose Olmo, Gabriel V. Montes-Rojas, Antonio F. jun. Galvao

Publication date: 16 June 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00696.x

zbMATH Keywords

quantile regressionnonlinear modelsthreshold models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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