LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities

DOI10.1017/S0266466609990703MaRDI QIDQ3577708zbMATH OpenFDO

Authors Jin Seo Cho, Chirok Han, Peter C. B. Phillips

Publication date 23 July 2010

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• Asymptotics for linear processes
• Dependent central limit theorems and invariance principles
• Generalised bootstrap in non-regular M-estimation problems
• LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS
• Limiting distributions for \(L_1\) regression estimators under general conditions

Cited in

(6)

• scientific article; zbMATH DE number 7338494 (Why is no real title available?)
• LEAST ABSOLUTE DEVIATIONS REGRESSION UNDER NONSTANDARD CONDITIONS
• Least absolute deviation estimation of autoregressive conditional duration model
• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• Quantile cointegration in the autoregressive distributed-lag modeling framework
• Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

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