most citedOn the Identifiability Conditions in Some Nonlinear Time Series Models

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stat.ME2014

Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity

Jungsik Noh, Sangyeol Lee

This paper considers quantile regression for a wide class of time series models including ARMA models with asymmetric GARCH (AGARCH) errors. The classical mean-variance models are…