2 papers
stat.ME2023★ 6 cited
Quantile autoregressive conditional heteroscedasticity
Qianqian Zhu, Songhua Tan, Yao Zheng +1
This paper proposes a novel conditional heteroscedastic time series model by applying the framework of quantile regression processes to the ARCH(\infty) form of the GARCH model. Th…
stat.ME2020
Asymmetric linear double autoregression
Songhua Tan, Qianqian Zhu
This paper proposes the asymmetric linear double autoregression, which jointly models the conditional mean and conditional heteroscedasticity characterized by asymmetric effects. A…