R-estimators in GARCH models: asymptotics and applications

DOI10.1093/ectj/utab026OpenAlexW3197399204MaRDI QIDQ5083300

Kanchan Mukherjee, Hang Liu

Publication date: 22 June 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/utab026

zbMATH Keywords

empirical processGARCH modelsR-estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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