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Quantile Double AR Time Series Models for Financial Returns


  • Yuzhi Cai
  • Gabriel Montes‐Rojas
  • Jose Olmo


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  • Yuzhi Cai & Gabriel Montes‐Rojas & Jose Olmo, 2013. "Quantile Double AR Time Series Models for Financial Returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 551-560, September.
  • Handle: RePEc:wly:jforec:v:32:y:2013:i:6:p:551-560

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    Cited by:

    1. Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, Open Access Journal, vol. 6(3), pages 1-47, September.
    2. Zhu, Huafeng & Zhang, Xingfa & Liang, Xin & Li, Yuan, 2017. "On a vector double autoregressive model," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 86-95.

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