Quantile‐frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics
Author:
Affiliation:
1. IBM T. J. Watson Research Center Yorktown Heights New York USA
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/rssc.12458
Reference44 articles.
1. Regime Changes and Financial Markets
2. Generalized autoregressive conditional heteroskedasticity
3. Noncrossing quantile regression curve estimation
4. Bootstraps for Time Series
5. Of copulas, quantiles, ranks and spectra: An $L_{1}$-approach to spectral analysis
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2. INVESTIGATION OF SERIAL DEPENDENCE ASYMMETRY AND TIME IRREVERSIBILITY IN STOCK MARKET RETURNS OF MIST COUNTRIES USING THE QUANTILE PERIODOGRAM;Ege Akademik Bakis (Ege Academic Review);2023-03-27
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