Showing 1 - 3 of 3
conditional quantile estimation. Specifically, we model the conditional standard deviation as a realized GARCH model and employ … proposed dynamic quantile models. We devise a two-step estimation procedure to estimate the conditional quantile parameters …. The first step applies a quasi-maximum likelihood estimation procedure, with the realized volatility as a proxy for the …
Persistent link: https://www.econbiz.de/10013216324
Persistent link: https://www.econbiz.de/10011705111
Persistent link: https://www.econbiz.de/10011974617