KMS Of Academy of mathematics and systems sciences, CAS
| Composite quantile regression estimation for P-GARCH processes | |
Zhao Biao1; Chen Zhao2; Tao GuiPing3; Chen Min4
| |
| 2016-05-01 | |
| Source Publication | SCIENCE CHINA-MATHEMATICS
 |
| ISSN | 1674-7283 |
| Volume | 59Issue:5Pages:977-998 |
| Abstract | 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. |
| Keyword | composite quantile regression periodic GARCH process strictly periodic stationarity strong consistency asymptotic normality |
| DOI | 10.1007/s11425-015-5115-0 |
| Language | 英语 |
| Funding Project | 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 Research Area | Mathematics |
| WOS Subject | Mathematics, Applied ; Mathematics |
| WOS ID | WOS:000374329000012 |
| Publisher | SCIENCE PRESS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/22529 |
| Collection | 应用数学研究所 |
| Corresponding Author | Chen Zhao |
| Affiliation | 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 |
| Recommended Citation 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. |
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