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Conditional Quantile Estimation and Inference for Arch Models

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Author Info
Koenker, Roger
Zhao, Quanshui
Abstract

Quantile regression methods are suggested for a class of ARCH models. Because conditional quantiles are readily interpretable in semiparametric ARCH models and are inherendy easier to estimate robustly than population moments, they offer some advantages over more familiar methods based on Gaussian likelihoods. Related inference methods, including the construction of prediction intervals, are also briefly discussed.

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File URL: http://journals.cambridge.org/abstract_S0266466600007167
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 12 (1996)
Issue (Month): 05 (December)
Pages: 793-813
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:12:y:1996:i:05:p:793-813_00

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  1. Oliver Linton & Yoon-Jae Whang, 2003. "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series /2003/463, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  2. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics. [Downloadable!]
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  3. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge. [Downloadable!]
  4. Jin Seo Cho & Chirok Han & Peter C.B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Cowles Foundation Discussion Papers 1703, Cowles Foundation, Yale University. [Downloadable!]
  5. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  6. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
  7. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  8. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics. [Downloadable!]
  9. Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
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  10. Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006. "Comparing Value-at-Risk Methodologies," Economics Working Papers (Ensaios Economicos da EPGE) 629, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  11. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
  12. Beum-Jo Park, 2002. "Asymmetric Volatility Of Exchange Rate Returns Under The Ems: Some Evidence From Quantile Regression Appoach For Tgarch Models," International Economic Journal, Korean International Economic Association, vol. 16(1), pages 105-125, April. [Downloadable!] (restricted)
  13. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]
  14. Christophe Muller & Tae-Hwan Kim, 2004. "Two-Stage Quantile Regression When The First Stage Is Based On Quantile Regression," Working Papers. Serie AD 2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  15. Halbert White & Tae-Hwan Kim, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series 2002-09, Department of Economics, UC San Diego. [Downloadable!]
  16. Antonio F. Galvao, Jr. & Gabriel V. Montes-Rojas & Gabriel Sung Y. Park, 2009. "Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns," City University Economics Discussion Papers 09/04, Department of Economics, City University, London. [Downloadable!]
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