Matches in SemOpenAlex for { <https://semopenalex.org/work/W1504500418> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W1504500418 abstract "Conditional quantile estimation is an essential ingredient in modern risk management. Although GARCH processes have proven highly successful in modeling financial data it is generally recognized that it would be useful to consider a broader class of processes capable of representing more flexibly both asymmetry and tail behavior of conditional returns distributions. In this paper, we study estimation of conditional quantiles for GARCH models using quantile regression. Quantile regression estimation of GARCH models is highly nonlinear; we propose a simple and effective two-step approach of quantile regression estimation for linear GARCH time series. In the first step, we employ a quan- tile autoregression sieve approximation for the GARCH model by combining information over different quantiles; second stage estimation for the GARCH model is then carried out based on the first stage minimum distance estimation of the scale process of the time series. Asymptotic properties of the sieve approximation, the minimum distance estimators, and the final quantile regression estimators employing generated regressors are studied. These results are of independent interest and have applications in other quantile regression settings. Monte Carlo and empirical application results indicate that the proposed estimation methods outperform some existing conditional quantile estimation methods." @default.
- W1504500418 created "2016-06-24" @default.
- W1504500418 creator A5002318539 @default.
- W1504500418 creator A5083524174 @default.
- W1504500418 date "2009-03-13" @default.
- W1504500418 modified "2023-09-22" @default.
- W1504500418 title "Conditional Quantile Estimation for GARCH Models" @default.
- W1504500418 cites W1858495123 @default.
- W1504500418 cites W1966158196 @default.
- W1504500418 cites W1972556330 @default.
- W1504500418 cites W1972695155 @default.
- W1504500418 cites W1976400977 @default.
- W1504500418 cites W1987445923 @default.
- W1504500418 cites W1992834568 @default.
- W1504500418 cites W1999814123 @default.
- W1504500418 cites W1999996900 @default.
- W1504500418 cites W2003941523 @default.
- W1504500418 cites W2017044442 @default.
- W1504500418 cites W2019291268 @default.
- W1504500418 cites W2020524492 @default.
- W1504500418 cites W2022115022 @default.
- W1504500418 cites W2054435707 @default.
- W1504500418 cites W2054599015 @default.
- W1504500418 cites W2065742895 @default.
- W1504500418 cites W2082545012 @default.
- W1504500418 cites W2107877262 @default.
- W1504500418 cites W2150747312 @default.
- W1504500418 cites W2156908840 @default.
- W1504500418 cites W2170206178 @default.
- W1504500418 cites W2334869595 @default.
- W1504500418 cites W2489392164 @default.
- W1504500418 cites W3121739687 @default.
- W1504500418 cites W3123960162 @default.
- W1504500418 cites W3124842399 @default.
- W1504500418 cites W2183835127 @default.
- W1504500418 cites W2512001122 @default.
- W1504500418 hasPublicationYear "2009" @default.
- W1504500418 type Work @default.
- W1504500418 sameAs 1504500418 @default.
- W1504500418 citedByCount "9" @default.
- W1504500418 countsByYear W15045004182012 @default.
- W1504500418 countsByYear W15045004182013 @default.
- W1504500418 countsByYear W15045004182014 @default.
- W1504500418 countsByYear W15045004182017 @default.
- W1504500418 crossrefType "posted-content" @default.
- W1504500418 hasAuthorship W1504500418A5002318539 @default.
- W1504500418 hasAuthorship W1504500418A5083524174 @default.
- W1504500418 hasConcept C105795698 @default.
- W1504500418 hasConcept C118671147 @default.
- W1504500418 hasConcept C149782125 @default.
- W1504500418 hasConcept C185429906 @default.
- W1504500418 hasConcept C23922673 @default.
- W1504500418 hasConcept C33923547 @default.
- W1504500418 hasConcept C43555835 @default.
- W1504500418 hasConcept C63817138 @default.
- W1504500418 hasConcept C91602232 @default.
- W1504500418 hasConceptScore W1504500418C105795698 @default.
- W1504500418 hasConceptScore W1504500418C118671147 @default.
- W1504500418 hasConceptScore W1504500418C149782125 @default.
- W1504500418 hasConceptScore W1504500418C185429906 @default.
- W1504500418 hasConceptScore W1504500418C23922673 @default.
- W1504500418 hasConceptScore W1504500418C33923547 @default.
- W1504500418 hasConceptScore W1504500418C43555835 @default.
- W1504500418 hasConceptScore W1504500418C63817138 @default.
- W1504500418 hasConceptScore W1504500418C91602232 @default.
- W1504500418 hasLocation W15045004181 @default.
- W1504500418 hasOpenAccess W1504500418 @default.
- W1504500418 hasPrimaryLocation W15045004181 @default.
- W1504500418 hasRelatedWork W1516574815 @default.
- W1504500418 hasRelatedWork W1991620995 @default.
- W1504500418 hasRelatedWork W1997162779 @default.
- W1504500418 hasRelatedWork W2003941523 @default.
- W1504500418 hasRelatedWork W2007024524 @default.
- W1504500418 hasRelatedWork W2042316765 @default.
- W1504500418 hasRelatedWork W2049786818 @default.
- W1504500418 hasRelatedWork W2051514828 @default.
- W1504500418 hasRelatedWork W2120387405 @default.
- W1504500418 hasRelatedWork W2150747312 @default.
- W1504500418 hasRelatedWork W2152568397 @default.
- W1504500418 hasRelatedWork W2332123834 @default.
- W1504500418 hasRelatedWork W2560885423 @default.
- W1504500418 hasRelatedWork W2807493585 @default.
- W1504500418 hasRelatedWork W3121228088 @default.
- W1504500418 hasRelatedWork W3124051913 @default.
- W1504500418 hasRelatedWork W3124215015 @default.
- W1504500418 hasRelatedWork W3189086652 @default.
- W1504500418 hasRelatedWork W2356529172 @default.
- W1504500418 hasRelatedWork W3122141131 @default.
- W1504500418 isParatext "false" @default.
- W1504500418 isRetracted "false" @default.
- W1504500418 magId "1504500418" @default.
- W1504500418 workType "article" @default.