scientific article; zbMATH DE number 1223290

MaRDI QIDQ4218591zbMATH OpenFDO

Authors M. V. Boldin

Publication date 5 October 1999

zbMATH Keywords

ARCH modelgross error sensitivityinfluence functionrank estimatorsresidual empirical processrobust estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Empirical process of the squared residuals of an ARCH sequence
• scientific article; zbMATH DE number 2066279
• The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process
• M-estimation and linear hypothesis testing in the ARCH model

Cited in

(25)

• Estimating the innovation distribution in nonparametric autoregression
• Estimating linear functionals of the error distribution in nonparametric regression
• Empirical process of the squared residuals of an ARCH sequence
• Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• Residual-based rank specification tests for AR-GARCH type models
• A doubly robustified estimating function for ARCH time series models
• The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process
• Fitting an error distribution in some heteroscedastic time series models
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Limit results for the empirical process of squared residuals in GARCH models.
• Generalized R-estimators under conditional heteroscedasticity
• scientific article; zbMATH DE number 5811361 (Why is no real title available?)
• Minimum alpha-divergence estimation for arch models
• Uniform estimates of strong mixing rate coefficients and maximum of residual empirical processes in \(ARCH(p)\)-models
• scientific article; zbMATH DE number 2066279 (Why is no real title available?)
• Estimating the error distribution in a single-index model
• scientific article; zbMATH DE number 2148871 (Why is no real title available?)
• M-estimation and linear hypothesis testing in the ARCH model
• Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
• Inference and prediction for ARCH time series via innovation distribution function
• Inference on dynamic systemic risk measures
• Efficient prediction for linear and nonlinear autoregressive models
• Minimum distance estimates in the ARCH model
• Statistical estimation errors of VaR under ARCH returns

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4218591)