R-estimation in semiparametric dynamic location-scale models
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Cites work
- scientific article; zbMATH DE number 490141 (Why is no real title available?)
- scientific article; zbMATH DE number 1482698 (Why is no real title available?)
- scientific article; zbMATH DE number 854956 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Adaptive estimation in time-series models
- Aligned rank tests for linear models with autocorrelated error terms
- An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models
- Approximation by log-concave distributions, with applications to regression
- Asymptotic Statistics
- Asymptotics in statistics: some basic concepts
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Efficient estimation in semiparametric GARCH models
- Empirical dynamic asset pricing: model specification and econometric assessment
- Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
- GR-estimates for an autoregressive time series.
- Generalized R-estimators under conditional heteroscedasticity
- Guest editorial. Semiparametric methods in econometrics
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- Likelihood inference for diffusions: a survey
- Linear serial rank tests for randomness against ARMA alternatives
- Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
- Maximum Likelihood Estimation of Misspecified Models
- Modelling the persistence of conditional variances
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On adaptive estimation in stationary ARMA processes
- Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
- Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
- Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
- Optimal rank-based tests against first-order superdiagonal bilinear dependence
- Parametric and nonparametric models and methods in financial econometrics
- Pseudo Maximum Likelihood Methods: Theory
- Quasi-likelihood models and optimal inference
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- R-estimation for arma models
- R-estimation in autoregression with square-integrable score function
- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- Rank-based estimation for autoregressive moving average time series models
- Rank-based tests for autoregressive against bilinear serial dependence
- Residual-based rank specification tests for AR-GARCH type models
- Robustness of the student t based M-estimator
- Semi-parametric efficiency, distribution-freeness and invariance
- Semiparametric efficiency bounds
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Sinh-arcsinh distributions
- The Efficiency of Some Nonparametric Competitors of the $t$-Test
- The surprise element: Jumps in interest rates.
- Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
- \(R\)-estimation for asymmetric independent component analysis
- \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
Cited in
(11)- Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
- Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
- مدل رگرسیون نیمهپارامتری مکان-مقیاس با دمهای نیمهسنگین بر اساس توزیع هایپربولیک سکانت
- A class of optimization problems motivated by rank estimators in robust regression
- Rank-based testing for semiparametric VAR models: a measure transportation approach
- scientific article; zbMATH DE number 4068093 (Why is no real title available?)
- Center-Outward R-Estimation for Semiparametric VARMA Models
- Semiparametric inference methods for general time scale models
- Bivariate Location–Scale Models for Regression Analysis, with Applications to Lifetime Data
- scientific article; zbMATH DE number 1450225 (Why is no real title available?)
- A simple R-estimation method for semiparametric duration models
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