Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
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Publication:3440744
DOI10.1111/j.1467-9892.2005.00456.xzbMath1114.62090OpenAlexW2112268613MaRDI QIDQ3440744
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00456.x
random walkconditional heteroscedasticityfirst-order autoregressive modelsmedian-unbiased estimationexact inference methods
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Cites Work
- Concepts of nonparametric theory
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Quasi-maximum likelihood estimation of stochastic volatility models
- A Median-Unbiased Estimator of the AR(1) Coefficient
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- An Improved Algorithm for Discrete $l_1 $ Linear Approximation
- An invariant sign test for random walks based on recursive median adjustment
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