Browsing School of Pure and Applied Sciences by Author "Mutunga, D. N."
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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 ...