Quantile-based smooth transition value at risk estimation

DOI10.1093/ECTJ/UTZ009OpenAlexW2966409085WikidataQ127736277 ScholiaQ127736277MaRDI QIDQ5084340

Pavel Čížek, Stefan Hubner

Publication date: 24 June 2022

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

Full work available at URL: https://research-information.bris.ac.uk/en/publications/f172ee11-9d5b-4bb4-985c-72ef4e37c667

zbMATH Keywords

regime switchingGARCHcomposite quantile regressionconditional quantilessmooth transitionsieve estimationCAViaR

Mathematics Subject Classification ID

Statistics (62-XX)

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