Conditional quantile estimation and inference for ARCH models

被引:167
|
作者
Koenker, R [1 ]
Zhao, QS [1 ]
机构
[1] CITY UNIV HONG KONG,HONG KONG,HONG KONG
关键词
D O I
10.1017/S0266466600007167
中图分类号
F [经济];
学科分类号
02 ;
摘要
Quantile regression methods are suggested for a class of ARCH models. Because conditional quantiles are readily interpretable in semiparametric ARCH models and are inherently easier to estimate robustly than population moments, they offer some advantages over more familiar methods based on Gaussian likelihoods. Related inference methods, including the construction of prediction intervals, are also briefly discussed.
引用
收藏
页码:793 / 813
页数:21
相关论文
共 50 条
  • [31] Conditional Quantile Sequential Estimation for Stochastic Codes
    Labopin-Richard, Tatiana
    Gamboa, Fabrice
    Garivier, Aurelien
    Stenger, Jerome
    JOURNAL OF STATISTICAL THEORY AND PRACTICE, 2019, 13 (04)
  • [32] Conditional Quantile Estimation for Truncated and Associated Data
    Adjoudj, Latifa
    Tatachak, Abdelkader
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 48 (18) : 4598 - 4641
  • [33] Conditional Monte Carlo Estimation of Quantile Sensitivities
    Fu, Michael C.
    Hong, L. Jeff
    Hu, Jian-Qiang
    MANAGEMENT SCIENCE, 2009, 55 (12) : 2019 - 2027
  • [34] Fractional order statistic approximation for nonparametric conditional quantile inference
    Goldman, Matt
    Kaplan, David M.
    JOURNAL OF ECONOMETRICS, 2017, 196 (02) : 331 - 346
  • [35] Conditional asymmetry in Power ARCH(∞) models
    Royer, Julien
    JOURNAL OF ECONOMETRICS, 2023, 234 (01) : 178 - 204
  • [36] Conditional empirical likelihood for quantile regression models
    Wang, Wu
    Zhu, Zhongyi
    METRIKA, 2017, 80 (01) : 1 - 16
  • [37] Conditional empirical likelihood for quantile regression models
    Wu Wang
    Zhongyi Zhu
    Metrika, 2017, 80 : 1 - 16
  • [38] Test for conditional quantile change in GARCH models
    Sangyeol Lee
    Chang Kyeom Kim
    Journal of the Korean Statistical Society, 2022, 51 : 480 - 499
  • [39] Conditional quantile analysis for realized GARCH models
    Kim, Donggyu
    Oh, Minseog
    Wang, Yazhen
    JOURNAL OF TIME SERIES ANALYSIS, 2022, 43 (04) : 640 - 665
  • [40] Test for conditional quantile change in GARCH models
    Lee, Sangyeol
    Kim, Chang Kyeom
    JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2022, 51 (02) : 480 - 499