Hybrid quantile estimation for asymmetric power GARCH models
نویسندگان
چکیده
Asymmetric power GARCH models have been widely used to study the higher order moments of financial returns, while their quantile estimation has rarely investigated. This paper introduces a simple monotonic transformation on its conditional function make regression tractable. The asymptotic normality resulting estimators is established under either stationarity or non-stationarity. Moreover, based procedure, new tests for strict and asymmetry are also constructed. first try non-stationary ARCH-type in literature. usefulness proposed methodology illustrated by simulation results real data analysis.
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2022
ISSN: ['1872-6895', '0304-4076']
DOI: https://doi.org/10.1016/j.jeconom.2020.05.005