Forecasting for quantile self-exciting threshold autoregressive time series models
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Cited by:
- Yuzhi Cai & Julian Stander, 2020.
"The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 395-424.
- Yuzhi Cai & Julian Stander, 2018. "The threshold GARCH model: estimation and density forecasting for financial returns," Working Papers 2018-23, Swansea University, School of Management.
- Junho Lee & Ying Sun & Huixia Judy Wang, 2021. "Spatial cluster detection with threshold quantile regression," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
- Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
- Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, vol. 6(3), pages 1-47, September.
- Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
- Xiaochun Liu, 2016.
"Markov switching quantile autoregression,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
- Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
- Antonio Galvao & Kengo Kato & Gabriel Montes-Rojas & Jose Olmo, 2014. "Testing linearity against threshold effects: uniform inference in quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(2), pages 413-439, April.
- Yuzhi Cai & Guodong Li, 2018. "A novel approach to modelling the distribution of financial returns," Working Papers 2018-22, Swansea University, School of Management.
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