R-estimators in GARCH models: asymptotics and applications

DOI10.1093/ECTJ/UTAB026MaRDI QIDQ5083300zbMATH OpenOpenAlexFDO

Authors Hang Liu, Kanchan Mukherjee

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/ectj/utab026

zbMATH Keywords

empirical processGARCH modelsR-estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(9)

• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• A new estimator method for GARCH models
• Recursive Estimation of GARCH Models
• M-ESTIMATION IN GARCH MODELS
• scientific article; zbMATH DE number 1775009 (Why is no real title available?)
• Asymptotics for parametric GARCH-in-mean models
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• The asymptotic convexity of the negative likelihood function of GARCH models
• M-estimate for the stationary hyperbolic GARCH models

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