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Title
Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
Author
Xiao, Zhijie
,
Koenker, Roger
Date
2009
Genre
article
Version
Post-print version of an article published in Journal of the American Statistical Association 104(488): 1696-1712. doi:10.1198/jasa.2009.tm09170.
Title
Conditional Quantile Estimation for GARCH Models
Author
Xiao, Zhijie
,
Koenker, Roger
Date
2009
Genre
working paper
Title
Copula-Based Nonlinear Quantile Autoregression
Author
Chen, Xiaohong
,
Koenker, Roger
,
Xiao, Zhijie
Date
2008
Genre
working paper
Title
Copula-based nonlinear quantile autoregression
Author
Chen, Xiaohong
,
Koenker, Roger
,
Xiao, Zhijie
Date
2009
Genre
article
Version
Pre-print version of an article published in Econometrics Journal 12(1): S50-S67. doi:10.1111/j.1368-423X.2008.00274.x.
Title
Quantile autoregression
Author
Koenker, Roger
,
Xiao, Zhijie
Date
2006
Genre
article
Version
Post-print version of an article published in Journal of the American Statistical Association 101(475): 980-990. doi:10.1198/016214506000000672.