Jiang, Jiancheng; Jiang, Xuejun; Song, Xinyuan - In: Econometrics Journal 17 (2014) 1, pp. 1-23
In modelling volatility in financial time series, the double‐threshold autoregressive conditional heteroscedastic (DTARCH) model has been demonstrated as a useful variant of the autoregressive conditional heteroscedastic (ARCH) models. In this paper, we propose a weighted composite quantile...