RANK-BASED ESTIMATION FOR GARCH PROCESSES
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Cites work
- M-ESTIMATION IN GARCH MODELS
- A Simplex Method for Function Minimization
- An Elementary Method for Obtaining Lower Bounds on the Asymptotic Power of Rank Tests
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
- Estimation When a Parameter is on a Boundary
- Fitting an error distribution in some heteroscedastic time series models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Generalized R-estimators under conditional heteroscedasticity
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1082456 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 882698 (Why is no real title available?)
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
- Nonlinear time series. Nonparametric and parametric methods
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Rank-based estimation for all-pass time series models
- Robust estimates for GARCH models
- Stationarity of GARCH processes and of some nonnegative time series
- Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
- The efficiency of the estimators of the parameters in GARCH processes.
- Weak and strong uniform consistency of the kernel estimate of a density and its derivatives
- Weather Forecasting for Weather Derivatives
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(11)- A simple R-estimation method for semiparametric duration models
- Residual-based rank specification tests for AR-GARCH type models
- Estimation of GARCH models from the autocorrelations of the squares of a process
- Spline estimation of a semiparametric GARCH model
- Generalized R-estimators under conditional heteroscedasticity
- Comparison results for GARCH processes
- Robust estimation of the linkage matrix in O-GARCH model
- Integer-valued asymmetric GARCH modeling
- R-estimation in semiparametric dynamic location-scale models
- Robust and efficient estimation of GARCH models based on Hellinger distance
- Center-Outward R-Estimation for Semiparametric VARMA Models
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