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Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity

  • Published:2012-07-25 Issue:3 Volume:28 Page:1103-1131
  • ISSN:0943-4062
  • Container-title:Computational Statistics
  • language:en
  • Short-container-title:Comput Stat

Author:

Chen Cathy W. S.,Gerlach Richard

Publisher

Springer Science and Business Media LLC

Subject

Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference44 articles.

1. Bassett G, Koenker R (1982) An empirical quantile function for linear models with iid errors. J Am Stat Assoc 77:407–415

2. Bollerslev T (1986) Generalized autoregressive conditional heteroscedasticity. J Econom 31:307–327

3. Brooks C (2001) A double-threshold GARCH model for the French Franc/Deutschmark exchange rate. J Forecast 20:135–143

4. Cai Y (2010) Forecasting for quantile self-exciting threshold autoregressive time series models. Biometrika 97:199–208

5. Cai Y, Stander J (2008) Quantile-self exciting threshold time series models. J Time Ser Anal 29:187–202

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