Quantile Double AR Time Series Models for Financial Returns
نویسندگان
چکیده
منابع مشابه
Quantile Double AR Time Series Models for Financial Returns
In this paper we develop a novel quantile double AR model for modelling financial time series. This is done by specifying a generalized lambda distribution to the quantile function of the location-scale double autoregressive model developed in Ling (2004, 2007). Model parameter estimation uses MCMC Bayesian methods. A novel simulation technique is introduced for forecasting the conditional dist...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2013
ISSN: 0277-6693
DOI: 10.1002/for.2261