Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
We apply the White information matrix (IM) test to the linear regression model with autocorrelated errors. A special case of one component of the test is found to be identical to the Engle Lagrange ...
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