Quantile Double AR Time Series Models for Financial Returns

@inproceedings{Cai2013QuantileDA,
  title={Quantile Double AR Time Series Models for Financial Returns},
  author={Yuzhi Cai and Gabriel Montes-Rojas and Jose Olmo},
  year={2013}
}
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

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