Browsing School of Pure and Applied Sciences by Subject "InterQuantile"

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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 ...