Robust minimum distance estimators for the CARR(1,1) model

DOI10.1080/00949655.2020.1820505OpenAlexW3086934256MaRDI QIDQ5033942

Jing Jia, Rui Ke, Chang-Chun Tan

Publication date: 24 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1820505

zbMATH Keywords

outliersautocorrelation functionminimum distance estimatorconditional autoregressive range model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics (62-XX)

Cites Work

• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• A moment closed form estimator for the autoregressive conditional duration model
• High breakdown-point and high efficiency robust estimates for regression
• Volatility contagion: a range-based volatility approach
• The Gaussian rank correlation estimator: robustness properties
• Minimum distance estimation of GARCH(1,1) models
• Minimum distance estimation of ARFIMA processes
• A comparison of some estimators of time series autocorrelations
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Comparative Study of Several Robust Estimates of Slope, Intercept, and Scale in Linear Regression
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Robust Estimation of a Location Parameter

This page was built for publication: Robust minimum distance estimators for the CARR(1,1) model