Quantile spectral analysis for locally stationary time series
Author:
Affiliation:
1. Ruhr-Universität Bochum; Germany
2. University of Toronto; Canada
3. London School of Economics and Political Science; UK
4. Université Libre de Bruxelles; Belgium
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/rssb.12231/fullpdf
Reference51 articles.
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2. Birr , S. Dette , H. Hallin , M. Kley , T. Volgushev , S. 2016 On Wigner-Ville spectra and the unicity of time-varying quantile-based spectral densities Preprint arXiv:1611.07253
3. Stationarity of GARCH processes and some nonnegative time series;Bougerol;J. Econmetr.,1992
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