Robust modelling of DTARCH models

DOI10.1111/j.1368-423X.2005.00157.xzbMath1095.91048MaRDI QIDQ5703223

Yer Van Hui, Jiancheng Jiang

Publication date: 8 November 2005

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

zbMATH Keywords

conditional heteroskedasticitymedian regressionmodel diagnostic checkingDouble-thresholdrobust portmanteau statistic

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (7)

Robust and efficient estimation with weighted composite quantile regression ⋮ Spatial quantile estimation of multivariate threshold time series models ⋮ Variable selection via composite quantile regression with dependent errors ⋮ Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model ⋮ Double threshold autoregressive conditionally heteroscedastic model building by genetic algorithms ⋮ Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series ⋮ Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models

Cites Work

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• Nonlinear time series. Nonparametric and parametric methods
• Least absolute deviations estimation for ARCH and GARCH models
• Inference in Arch and Garch Models with Heavy-Tailed Errors

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