Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
Sign Up to like & getrecommendations! Published in 2019 at "Science China Mathematics"
DOI: 10.1007/s11425-016-9321-x
Abstract: The double-threshold autoregressive conditional heteroscedastic (DTARCH) model is a useful tool to measure and forecast the mean and volatility of an asset return in a financial time series. The DTARCH model can handle situations wherein… read more here.
Keywords: weighted composite; quantile regression; likelihood ratio; dtarch ... See more keywords