Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models

Journal of the American Statistical Association

Volumn 104, Issue 488, 2009, Pages 1696-1712

  Xiao, Zhijie ^a   Koenker, Roger ^b  

^a BOSTON COLLEGE   (United States)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

Conditional heteroscedasticity; GARCH models; Quantile autoregression

Indexed keywords

EID: 74049090804     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2009.tm09170     Document Type: Article

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