Quantile Double AR Time Series Models for Financial Returns

  title={Quantile Double AR Time Series Models for Financial Returns},
  author={Yuzhi Cai and Gabriel Montes-Rojas and Jose Olmo},
We develop a novel quantile double autoregressive 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 by Ling (2004, 2007). Parameter estimation uses Markov chain Monte Carlo Bayesian methods. A simulation technique is introduced for forecasting the conditional distribution of financial returns m periods ahead, and hence any for predictive quantities of… CONTINUE READING

Figures and Tables from this paper.


Publications citing this paper.


Publications referenced by this paper.