Browsing by Subject "Autoregression"

Now showing items 1-2 of 2

    • Conditional Volatility Estimation by Conditional Quantile Autoregression 

      Mutunga, D. N.; Mwita, Peter N.; Muema, B. K. (HIKARI Ltd, 2014)
      This paper considers the problem of estimating conditional volatility function using conditional quantile autoregression function. We estimate the interquantile autoregression range and the conditional volatility function ...

    • Estimation of T- period’s ahead extreme quantile autoregression function 

      Mwita, Peter Nyamuhanga (African Journal of Mathematics and Computer Science Research, 2010)
      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 ...