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Weighted composite quantile regression estimation of DTARCH models

  • Published:2014-02 Issue:1 Volume:17 Page:1-23
  • ISSN:1368-4221
  • Container-title:The Econometrics Journal
  • language:en
  • Short-container-title:The Econometrics Journal

Author:

Jiang Jiancheng1,Jiang Xuejun23,Song Xinyuan4

Affiliation:

1. University of North Carolina at Charlotte; 9201 University City Blvd; Charlotte NC 28223 USA

2. South University of Science and Technology; 1088 Xueyuan Ave, Nanshan Shenzhen Guangdong China

3. Zhongnan University of Economics and Law; 114 Wuluo Rd Wuchang Wuhan, Hubei China

4. The Chinese University of Hong Kong; Shatin NT Hong Kong

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Reference36 articles.

1. Dynamic equilibrium and volatility in financial asset markets;Ait-Sahalia;Journal of Econometrics,1998

2. M-estimation of multivariate linear regression parameters under a convex discrepancy function;Bai;Statistica Sinica,1992

3. On ARCH models: properties, estimation and testing;Bera;Journal of Economic Surveys,1993

4. One-step Huber estimates in linear models;Bickel;Journal of the American Statistics Association,1975

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