Composite quantile regression estimation for P-GARCH processes

doi:10.1007/s11425-015-5115-0

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	Composite quantile regression estimation for P-GARCH processes
	Zhao Biao 1; Chen Zhao 2; Tao GuiPing 3; Chen Min4
	2016-05-01
发表期刊	SCIENCE CHINA-MATHEMATICS
ISSN	1674-7283
卷号	59 期号:5 页码:977-998
摘要	We consider the periodic generalized autoregressive conditional heteroskedasticity (P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH model. Under some mild conditions, we establish the asymptotic results of proposed estimator. The Monte Carlo simulation is presented to assess the performance of proposed estimator. Numerical study results show that our proposed estimation outperforms other existing methods for heavy tailed distributions. The proposed methodology is also illustrated by VaR on stock price data.
关键词	composite quantile regression periodic GARCH process strictly periodic stationarity strong consistency asymptotic normality
DOI	10.1007/s11425-015-5115-0
语种	英语
资助项目	National Natural Science Foundation of China[11371354] ; Key Laboratory of Random Complex Structures and Data Science, Chinese Academy of Sciences[2008DP173182] ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000374329000012
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22529
专题	应用数学研究所
通讯作者	Chen Zhao
作者单位	1.Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China 2.Penn State Univ, Dept Stat, University Pk, PA 16802 USA 3.Capital Univ Econ & Business, Sch Stat, Beijing 100070, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhao Biao,Chen Zhao,Tao GuiPing,et al. Composite quantile regression estimation for P-GARCH processes[J]. SCIENCE CHINA-MATHEMATICS,2016,59(5):977-998.
APA	Zhao Biao,Chen Zhao,Tao GuiPing,&Chen Min.(2016).Composite quantile regression estimation for P-GARCH processes.SCIENCE CHINA-MATHEMATICS,59(5),977-998.
MLA	Zhao Biao,et al."Composite quantile regression estimation for P-GARCH processes".SCIENCE CHINA-MATHEMATICS 59.5(2016):977-998.