Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time -varying correlations

Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time -varying correlations

© 2019 John Wiley & Sons, Ltd. To understand and predict chronological dependence in the second-order moments of asset returns, this paper considers a multivariate hysteretic autoregressive (HAR) model with generalized autoregressive conditional heteroskedasticity (GARCH) specification and tim...

Saved in:

書目詳細資料
Main Authors:	Cathy W.S. Chen, Hong Than-Thi, Mike K.P. So, Songsak Sriboonchitta
格式:	雜誌
出版:	2019
主題:	Business, Management and Accounting Decision Sciences Mathematics
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85070311925&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/66614
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

相似書籍

Hysteretic Poisson INGARCH model for integer-valued time series
由: Buu Chau Truong, et al.
出版: (2018)

Pair trading based on quantile forecasting of smooth transition GARCH models
由: Cathy W.S. Chen, et al.
出版: (2018)

Pair trading based on quantile forecasting of smooth transition GARCH models
由: Cathy W.S. Chen, et al.
出版: (2018)

Hysteretic Poisson INGARCH model for integer-valued time series
由: Buu Chau Truong, et al.
出版: (2018)

FORECASTING LIFE EXPECTANCIES USING AR-BIVARIATE GARCH MODELS.
由: GOH SEE YING
出版: (2020)

Pair trading based on quantile forecasting of smooth transition GARCH models
由: Chen C., et al.
出版: (2017)

Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
由: Cathy W.S. Chen, et al.
出版: (2018)

On Asymmetric Market Model with Heteroskedasticity and Quantile Regression
由: Cathy W.S. Chen, et al.
出版: (2018)

On Asymmetric Market Model with Heteroskedasticity and Quantile Regression
由: Cathy W.S. Chen, et al.
出版: (2018)

Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
由: SU, Liangjun, et al.
出版: (2011)

Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
由: YANG, Zhenlin
出版: (2007)

Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
由: SU, Liangjun, et al.
出版: (2011)

Pairs Trading via Nonlinear Autoregressive GARCH Models
由: Benchawanaree Chodchuangnirun, et al.
出版: (2018)

Economic forecasting based on copula quantile curves and beliefs
由: Liu,J., et al.
出版: (2015)

Which quantile is the most informative? Markov switching quantile model with unknown quantile level
由: Pichayakone Rakpho, et al.
出版: (2018)

Constant conditional correlation in a bivariate GARCH model: Evidence from the stock markets of China
由: Tsui, A.K., et al.
出版: (2011)

A comparison of bivariate, multivariate random-effects, and Poisson correlated gamma-frailty models to meta-analyze individual patient data of ordinal scale diagnostic tests
由: Gabrielle Simoneau, et al.
出版: (2018)

Option pricing under GARCH models applied to the SET50 index of Thailand
由: Somphorn Arunsingkarat, et al.
出版: (2022)

Investigation into interactions between accident consequences and traffic signs : a Bayesian bivariate Tobit quantile regression approach
由: Xu, Xuecai, et al.
出版: (2019)

A novel hybrid autoregressive integrated moving average and artificial neural network model for cassava export forecasting
由: Warut Pannakkong, et al.
出版: (2020)

Modeling dependence of health behaviors using copula-based bivariate ordered probit
由: Kanchit Suknark, et al.
出版: (2018)

Bayesian markov switching quantile regression with unknown quantile τ: Application to stock exchange of Thailand (SET)
由: Woraphon Yamaka, et al.
出版: (2019)

Probabilistic error bounded for simulation quantile estimators
由: Jin, X., et al.
出版: (2014)

An application of multiple quantiles in comparing two independent populations
由: Laoang, Mina Rose L., et al.
出版: (1998)

Multifactor capital asset pricing model in emerging and advanced markets using two error components model
由: Radamanee Noppasit, et al.
出版: (2020)

Adaptive Estimation of Autoregressive Models with Time-Varying Variances
由: XU, Ke-Li, et al.
出版: (2008)

Mildly explosive autoregression with anti-persistent errors
由: LUI, Yiu Lim, et al.
出版: (2021)

Mildly explosive autoregression with anti-persistent errors
由: LUI, Yui Lim, et al.
出版: (2021)

GARCH models in forecasting the volatility of the world’s oil prices
由: Nguyen Trung Hung, et al.
出版: (2018)

GARCH models in forecasting the volatility of the world’s oil prices
由: Nguyen Trung Hung, et al.
出版: (2018)

Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
由: Christian Gourieroux, et al.
出版: (2018)

Does the Kuznets curve exist in Thailand? A two decades’ perspective (1993–2015)
由: Paravee Maneejuk, et al.
出版: (2020)

Asymmetric effect with quantile regression for interval-valued variables
由: Teerawut Teetranont, et al.
出版: (2018)

Asymmetric effect with quantile regression for interval-valued variables
由: Teerawut Teetranont, et al.
出版: (2018)

Analysis of herding behavior using bayesian quantile regression
由: Rungrapee Phadkantha, et al.
出版: (2019)

Pair trading rule with switching regression GARCH model
由: Kongliang Zhu, et al.
出版: (2018)

Expectile and quantile kink regressions with unknown threshold
由: Varith Pipitpojanakarn, et al.
出版: (2018)

Expectile and quantile kink regressions with unknown threshold
由: Varith Pipitpojanakarn, et al.
出版: (2018)

Copulas based seemingly unrelated quantile regression
由: Roengchai Tansuchat, et al.
出版: (2018)

On the effectiveness of top-down strategy for forecasting autoregressive demands
由: Viswanathan, S., et al.
出版: (2013)