RANK-BASED ESTIMATION FOR GARCH PROCESSES

DOI10.1017/S0266466612000047zbMath1250.91078MaRDI QIDQ3168422

Beth Andrews

Publication date: 31 October 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Center-Outward R-Estimation for Semiparametric VARMA Models ⋮ Robust and efficient estimation of GARCH models based on Hellinger distance ⋮ A simple R-estimation method for semiparametric duration models ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL ⋮ Integer‐valued asymmetric garch modeling

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