Envelope Model: A statistical framework that identifies and utilises a subspace containing material variation to improve efficiency in parameter estimation during multivariate regression.

This study examines linear quantile regression models with GARCH-X errors. These models include the most popular generalized autoregressive conditional heteroscedasticity (GARCH) as a special case, ...

High-dimensional loading parameters are allowed in our development, under reasonable theoretical conditions. Thus, we propose a regularized estimation procedure to select the significant nonzero ...