Predictive quantile regressions under persistence and conditional heteroskedasticity
Rui Fan, Ji Hyung Lee
| Year of publication: |
2019
|
|---|---|
| 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 | Theorie | Theory | Heteroskedastizität | Heteroscedasticity | Bootstrap-Verfahren | Bootstrap approach | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.04.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012304551