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Forecasting for quantile self-exciting threshold autoregressive time series models
3 references·4 citing·24 second hop
Forecasting for quantile self-exciting threshold autoregressive time series models (2010)Forecasting for quantile self-exciting th…Quantile regression for dynamic panel data with fixed effects (2011)Quantile regression for dynam…Unit Root Quantile Autoregression Inference (2004)Unit Root Quantile Autoregres…Threshold autoregression, limit cycles and cyclical data- with discussion (1980)Threshold autoregression, lim…General Quantile Time Series Regressions for Applications in Population Demographics (2018)General Quantile Time Series …Quantile Double AR Time Series Models for Financial Returns (2013)Quantile Double AR Time Serie…Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity (2012)Semi-parametric quantile esti…Threshold quantile autoregressive models (2010)Threshold quantile autoregres…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)CAViaR (2004)Trends and random walks in macroeconmic time series (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)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)Generalized autoregressive conditional heteroskedasticity (1986)Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach (2015)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Quantile cointegration in the autoregressive distributed-lag modeling framework (2015)Revisiting the role of renewable and non-renewable energy consumption on Turkey’s ecological footprint: Evidence from Quantile ARDL approach (2020)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)Brownian motion and stochastic calculus (1991)Modelling of extremal events in insurance and finance (1994)Some advances in non‐linear and adaptive modelling in time‐series (1994)Testing for Linearity (1999)Modelling Nonlinear Economic Time Series (2010)
this work references cited by second hop

References

  • 2004Unit Root Quantile Autoregression Inference517 cited
  • 2011Quantile regression for dynamic panel data with fixed effects424 cited
  • 1980Threshold autoregression, limit cycles and cyclical data- with discussion247 cited

Cited by

  • 2010Threshold quantile autoregressive models54 cited
  • 2013Quantile Double AR Time Series Models for Financial Returns17 cited
  • 2012Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity17 cited
  • 2018General Quantile Time Series Regressions for Applications in Population Demographics7 cited

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