Estimation for generalized linear cointegration regression models through composite quantile regression approach
Year of publication: |
2024
|
---|---|
Authors: | Liu, Bingqi ; Pang, Tianxiao ; Cheng, Siang |
Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 65.2024, Art.-No. 105567, p. 1-14
|
Subject: | Composite quantile regression | Fully modified procedure | Generalized linear cointegration regression model | Portfolio optimization | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Kointegration | Cointegration | Portfolio-Management | Portfolio selection |
-
Estimation and test for quantile nonlinear cointegrating regression
Li, Haiqi, (2016)
-
A further note on the optimality of the OLS hedge strategy
Lien, Da-hsiang Donald, (2008)
-
Equity Market Information and Credit Risk Signaling : A Quantile Cointegrating Regression Approach
Gatfaoui, Hayette, (2018)
- More ...
-
Estimating multiple breaks in nonstationary autoregressive models
Pang, Tianxiao, (2021)
-
Structural change in nonstationary AR(1) models
Pang, Tianxiao, (2018)
-
Pang, Tianxiao, (2014)
- More ...