Qianqian Zhu

The University of Hong Kong - Department of Statistics and Actuarial Science

Pokfulam Road

Hong Kong

China

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Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity

Number of pages: 53 Posted: 25 Oct 2016 Last Revised: 26 Oct 2016
Yao Zheng, Qianqian Zhu, Guodong Li and Zhijie Xiao
The University of Hong Kong - Department of Statistics & Actuarial Science, The University of Hong Kong - Department of Statistics and Actuarial Science, The University of Hong Kong - Department of Statistics & Actuarial Science and Boston College - Department of Finance and Department of Economics
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Abstract:

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Bootstrap Method, Conditional Quantile, GARCH, Nonlinear Time Series, Quantile Regression