R-estimation in semiparametric dynamic location-scale models (Q503558): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q5310585 / rank
 
Normal rank
Property / cites work
 
Property / cites work: R-estimation for arma models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Residual-based rank specification tests for AR-GARCH type models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3608188 / rank
 
Normal rank
Property / cites work
 
Property / cites work: RANK-BASED ESTIMATION FOR GARCH PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal rank-based tests against first-order superdiagonal bilinear dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4869741 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rank-based tests for autoregressive against bilinear serial dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4277836 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances / rank
 
Normal rank
Property / cites work
 
Property / cites work: An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency / rank
 
Normal rank
Property / cites work
 
Property / cites work: The surprise element: Jumps in interest rates. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4492939 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation in semiparametric GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive estimation in time-series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation by log-concave distributions, with applications to regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling the persistence of conditional variances / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Guest editorial. Semiparametric methods in econometrics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inconsistency of the MLE and inference based on weighted LS for LARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pseudo Maximum Likelihood Methods: Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference in Arch and Garch Models with Heavy-Tailed Errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear serial rank tests for randomness against ARMA alternatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: <i>R</i>-Estimation for Asymmetric Independent Component Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Aligned rank tests for linear models with autocorrelated error terms / rank
 
Normal rank
Property / cites work
 
Property / cites work: One-step R-estimation in linear models with stable errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-parametric efficiency, distribution-freeness and invariance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Efficiency of Some Nonparametric Competitors of the $t$-Test / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sinh-arcsinh distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On adaptive estimation in stationary ARMA processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics in statistics: some basic concepts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness of the student t based M-estimator / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized R-estimators under conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: R-estimation in autoregression with square-integrable score function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric efficiency bounds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Least absolute deviations estimation for ARCH and GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5290921 / rank
 
Normal rank
Property / cites work
 
Property / cites work: GR-estimates for an autoregressive time series. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-likelihood models and optimal inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Misspecified Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parametric and nonparametric models and methods in financial econometrics / rank
 
Normal rank

Latest revision as of 07:47, 13 July 2024

scientific article
Language Label Description Also known as
English
R-estimation in semiparametric dynamic location-scale models
scientific article

    Statements

    R-estimation in semiparametric dynamic location-scale models (English)
    0 references
    0 references
    0 references
    13 January 2017
    0 references
    conditional heteroskedasticity
    0 references
    distribution-freeness
    0 references
    discretely observed Lévy processes
    0 references
    forecasting
    0 references
    R-estimation
    0 references
    realized volatility
    0 references
    skew-t family
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers