Extremal quantile autoregression for heavy-tailed time series.

Fengyang He Huixia Judy Wang Yuejin Zhou

Published in: Comput. Stat. Data Anal. (2022)

Keyphrases

heavy tailed
garch model
generalized gaussian
heavy tails
graph theory
multivariate time series
non stationary
prior distribution
stock market
prior knowledge
higher order
noisy data