lCARE - localizing conditional autoregressive expectiles
نویسندگان
چکیده
منابع مشابه
Periodic Autoregressive Conditional
Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive seasonal time variation in the second-order moments. This new class of periodic autoregressive conditional heteroscedasticity, or P-ARCH, models is directly related to the class o...
متن کاملAutoregressive conditional root model
In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term relationship. This autoregressive root model is shown to be ergodic and covariance stationary under some r...
متن کاملGeneralized Autoregressive Conditional Heteroskedasticity
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an e...
متن کاملConditional Autoregressive Hilbertian processes
When considering the problem of forecasting a continuous-time stochastic process over an entire time-interval in terms of its recent past, the notion of Autoregressive Hilbert space processes (arh) arises. This model can be seen as a generalization of the classical autoregressive processes to Hilbert space valued random variables. Its estimation presents several challenges that were addressed b...
متن کاملConditional tests for localizing trait genes.
BACKGROUND/AIMS With pedigree data, genetic linkage can be detected using inheritance vector tests, which explore the discrepancy between the posterior distribution of the inheritance vectors given observed trait values and the prior distribution of the inheritance vectors. In this paper, we propose conditional inheritance vector tests for linkage localization. These conditional tests can also ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2018
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2018.06.006