Robust and efficient estimation of GARCH models based on Hellinger distance

DOI10.1080/02664763.2021.1970120MaRDI QIDQ5044704zbMATH OpenOpenAlexFDO

Authors Qiang Zhao, Liang Chen, Jingjing Wu

Publication date 2 November 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2021.1970120

zbMATH Keywords

GARCH modelskernel estimationmaximum likelihood estimationminimum (profile) Hellinger distance estimationrobustness

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric robustness (62G35) Applications of statistics (62Pxx)

Cites work

• Alternatives to the Median Absolute Deviation
• Bootstrap inference for GARCH models by the least absolute deviation estimation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Efficiency versus robustness: The case for minimum Hellinger distance and related methods
• Efficient Hellinger distance estimates for semiparametric models
• Estimation of GARCH models from the autocorrelations of the squares of a process
• GARCH Model Estimation Using Estimated Quadratic Variation
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Minimum distance estimation of GARCH(1,1) models
• Minimum Hellinger distance estimates for parametric models
• On minimum Hellinger distance estimation
• Profile Hellinger distance estimation
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• The ``automatic robustness of minimum distance functionals

Cited in

(1)

• Minimum profile Hellinger distance estimation for single-index models

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