R-estimation in semiparametric dynamic location-scale models

conditional heteroskedasticity forecasting realized volatility[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=discretely+observed+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go discretely observed L��vy processes]distribution-freeness R-estimation skew-t family

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

Cites Work

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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Asymptotic Statistics
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Maximum Likelihood Estimation of Misspecified Models
Pseudo Maximum Likelihood Methods: Theory
R-Estimation for Asymmetric Independent Component Analysis
Approximation by log-concave distributions, with applications to regression
The Efficiency of Some Nonparametric Competitors of the $t$-Test
Semiparametric efficiency bounds
Sinh-arcsinh distributions
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
Robustness of the student t based M-estimator
Asymptotics in statistics: some basic concepts
Modelling the persistence of conditional variances
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
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Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
Adaptive estimation in time-series models
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Aligned rank tests for linear models with autocorrelated error terms
Quasi-likelihood models and optimal inference
R-estimation in autoregression with square-integrable score function
Guest editorial. Semiparametric methods in econometrics
Generalized R-estimators under conditional heteroscedasticity
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Inconsistency of the MLE and inference based on weighted LS for LARCH models
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Semi-parametric efficiency, distribution-freeness and invariance
One-step R-estimation in linear models with stable errors
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$R$-estimation of the parameters of autoregressive [AR($p$)] models
RANK-BASED ESTIMATION FOR GARCH PROCESSES
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
R-estimation for arma models
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Cited In (10)

مدل رگرسیون نیمهپارامتری مکان-مقیاس با دمهای نیمهسنگین بر اساس توزیع هایپربولیک سکانت
Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
A class of optimization problems motivated by rank estimators in robust regression
Rank-based testing for semiparametric VAR models: a measure transportation approach
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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
Title not available (Why is that?)
A simple R-estimation method for semiparametric duration models

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