Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

quantile estimation sign in to follow this
ARCH sign in to follow this
EVT sign in to follow this
autoregression sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Estimation of T-period's ahead Extreme Quantile Autoregression Function
Company: African Journal of Mathematics and Computer Science Research
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: April
Resource Link: Click here to open
Pages: 60-67
Download Count: 0
View Count: 1317
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-22-2011
Publisher: Administrator
Summary
This paper considers the estimation of extreme quantile autoregression function by using a parametric model. We combine direct estimation of quantiles in the middle region with that of extreme parts using the model and results from extreme value theory (EVT). The volatility used to scale the residuals is estimated indirectly, without estimating conditional mean, using the conditional quantile (CQ) range. The estimators are found to be consistent. A small simulation study carried out shows that the estimator of the volatility function converges to the true function over a range of distributional errors. Finally, the T-periods ahead extreme quantile autoregression function is given.
(volume 3, number 4)
Author(s)
Mwita, Peter N. Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile