Generalized R-estimators under conditional heteroscedasticity
From MaRDI portal
Publication:289160
DOI10.1016/j.jeconom.2006.10.002zbMath1418.62341OpenAlexW1967196716MaRDI QIDQ289160
Publication date: 27 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/868/1/Final_Version%28T%29.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (3)
Center-Outward R-Estimation for Semiparametric VARMA Models ⋮ RANK-BASED ESTIMATION FOR GARCH PROCESSES ⋮ R-estimation in semiparametric dynamic location-scale models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stationarity of GARCH processes and of some nonnegative time series
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
- ARCH models and financial applications
- Local polynomial estimators of the volatility function in nonparametric autoregression
- R-estimation in autoregression with square-integrable score function
- Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- Pseudo‐likelihood estimation in ARCH models
- Asymptotic Behavior of a Class of Confidence Regions Based on Ranks in Regression
- Nonparametric Estimate of Regression Coefficients
- Robust Statistics
This page was built for publication: Generalized R-estimators under conditional heteroscedasticity
