R-estimation in semiparametric dynamic location-scale models
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Publication:503558
DOI10.1016/j.jeconom.2016.08.002zbMath1403.91274OpenAlexW2531335104MaRDI QIDQ503558
Davide La Vecchia, Marc Hallin
Publication date: 13 January 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.08.002
conditional heteroskedasticityforecastingrealized volatilitydiscretely observed Lévy processesdistribution-freenessR-estimationskew-t family
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)
Related Items (5)
Center-Outward R-Estimation for Semiparametric VARMA Models ⋮ A class of optimization problems motivated by rank estimators in robust regression ⋮ Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression ⋮ A simple R-estimation method for semiparametric duration models ⋮ Rank-based testing for semiparametric VAR models: a measure transportation approach
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