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Quantile Double AR Time Series Models for Financial Returns
13 references·1 citing·40 second hop
Quantile Double AR Time Series Models for Financial Returns (2013)Quantile Double AR Time Series Models for…Quantile regression for dynamic panel data with fixed effects (2011)Quantile regression for dynam…Forecasting for quantile self-exciting threshold autoregressive time series models (2010)Forecasting for quantile self…Unit root quantile autoregression testing using covariates (2009)Unit root quantile autoregres…Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models (2009)Conditional Quantile Estimati…Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall (2008)Using Exponentially Weighted …A Double AR(p) Model: Structure and Estimation (2007)A Double AR(p) Model: Structu…CAViaR (2004)CAViaRValue‐at‐risk for long and short trading positions (2003)Value‐at‐risk for long and sh…Estimation and Testing Stationarity for Double-Autoregressive Models (2003)Estimation and Testing Statio…Conditional Quantile Estimation and Inference for Arch Models (1996)Conditional Quantile Estimati…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…ARMA MODELS WITH ARCH ERRORS (1984)ARMA MODELS WITH ARCH ERRORSAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…General Quantile Time Series Regressions for Applications in Population Demographics (2018)General Quantile Time Series …Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)A simple approach to quantile regression for panel data (2011)VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)European commitment to COP21 and the role of energy consumption, FDI, trade and economic complexity in sustaining economic growth (2020)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Coherent Measures of Risk (1999)Estimating Value at Risk and Expected Shortfall Using Expectiles (2007)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financial Network Systemic Risk Contributions (2014)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Frontiers in VaR forecasting and backtesting (2016)Measuring sovereign contagion in Europe (2017)A review of predictive uncertainty estimation with machine learning (2024)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modeling and Forecasting Realized Volatility (2003)ARCH modeling in finance (1992)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Quantile cointegration in the autoregressive distributed-lag modeling framework (2015)Trends and random walks in macroeconmic time series (1982)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis (2018)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)Time Series Analysis: Forecasting and Control (1977)Specification Tests in Econometrics (1978)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005)Multivariate GARCH models: a survey (2006)The Econometrics of Financial Markets (2012)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
  • 2004CAViaR2,210 cited
  • 2011Quantile regression for dynamic panel data with fixed effects424 cited
  • 2003Value‐at‐risk for long and short trading positions375 cited
  • 1984ARMA MODELS WITH ARCH ERRORS282 cited
  • 1996Conditional Quantile Estimation and Inference for Arch Models264 cited
  • 2009Unit root quantile autoregression testing using covariates197 cited
  • 2009Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models163 cited
  • 2008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall141 cited
  • 2003Estimation and Testing Stationarity for Double-Autoregressive Models135 cited
  • 2007A Double AR(p) Model: Structure and Estimation88 cited
  • 2010Forecasting for quantile self-exciting threshold autoregressive time series models31 cited

Cited by

  • 2018General Quantile Time Series Regressions for Applications in Population Demographics7 cited

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