R-estimators in GARCH models: asymptotics and applications

DOI10.1093/ECTJ/UTAB026OpenAlexW3197399204MaRDI QIDQ5083300FDOQ5083300

Authors: Hang Liu, Kanchan Mukherjee 

Publication date: 22 June 2022

Published in: Econometrics Journal (Search for Journal in Brave)

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
• Recursive Estimation of GARCH Models
• A new estimator method for GARCH models
• M-ESTIMATION IN GARCH MODELS
• Title not available (Why is that?)
• 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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