Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis

DOI10.1016/j.csda.2023.107702MaRDI QIDQ6168909

Mike K. P. So, Cathy W. S. Chen, Kai Y. K. Wang

Publication date: 11 July 2023

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

quantile regressionGARCHMarkov chain Monte Carlo methodsasymmetric Laplace distributionposterior odds ratioasymmetric student t distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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