Predictive quantile regressions under persistence and conditional heteroskedasticity
Rui Fan, Ji Hyung Lee
Year of publication: |
2019
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Authors: | Fan, Rui ; Lee, Ji Hyung |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 213.2019, 1, p. 261-280
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Subject: | α-mixing process | Conditional heteroskedasticity | Moving block bootstrap | Predictive regression | Quantile regression | Regressionsanalyse | Regression analysis | Heteroskedastizität | Heteroscedasticity | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Bootstrap-Verfahren | Bootstrap approach | ARCH-Modell | ARCH model |
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