Quantile Double AR Time Series Models for Financial Returns-Reference-Cited by-同舟云学术

Quantile Double AR Time Series Models for Financial Returns

Published:2013-05-29 Issue:6 Volume:32 Page:551-560
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Cai Yuzhi¹,Montes-Rojas Gabriel²,Olmo Jose³

Affiliation:

1. College of Business, Economics and Law; Swansea University; UK

2. City University London; UK

3. ARAID and Centro Universitario de la Defensa de Zaragoza; Spain

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2261/fullpdf

Reference27 articles.

1. A conditionally heteroskedastic time series model for speculative prices and rates of return;Bollerslev;Review of Economics and Statistics,1987

2. A quantile approach to US GNP;Cai;Economic Modelling,2007

3. Autoregression with non-Gaussian Innovations;Cai;Journal of Time Series Econometrics,2009

4. Multivariate quantile function models;Cai;Statistica Sinica,2010a

5. Polynomial power-Pareto quantile function models;Cai;Extremes,2010b

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