RANK-BASED ESTIMATION FOR GARCH PROCESSES

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Cites Work

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Generalized R-estimators under conditional heteroscedasticity
Robust estimates for GARCH models
Rank-based estimation for all-pass time series models
Stationarity of GARCH processes and of some nonnegative time series
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Nonlinear time series. Nonparametric and parametric methods
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Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
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M-ESTIMATION IN GARCH MODELS
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
Estimation When a Parameter is on a Boundary
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
Inference in Arch and Garch Models with Heavy-Tailed Errors
An Elementary Method for Obtaining Lower Bounds on the Asymptotic Power of Rank Tests
A Simplex Method for Function Minimization
Weather Forecasting for Weather Derivatives

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