Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
Year of publication: |
2013
|
---|---|
Authors: | Chen, Cathy ; Gerlach, Richard |
Published in: |
Computational Statistics. - Springer. - Vol. 28.2013, 3, p. 1103-1131
|
Publisher: |
Springer |
Subject: | Asymmetric Laplace distribution | Nonlinear time series | MCMC | GARCH | Quantile regression |
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