Simulated minimum Hellinger distance estimation of stochastic volatility models
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Cites work
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- scientific article; zbMATH DE number 469135 (Why is no real title available?)
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- scientific article; zbMATH DE number 2230347 (Why is no real title available?)
- A Brief Survey of Bandwidth Selection for Density Estimation
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- Asymptotic normality of the kernel estimate under dependence conditions: Application to hazard rate
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bootstrap prediction intervals for autoregressive time series
- Efficiency versus robustness: The case for minimum Hellinger distance and related methods
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Handbook of Parallel Computing and Statistics
- How easy is a given density to estimate?
- Minimum Hellinger Distance Estimation for Finite Mixture Models
- Minimum Hellinger Distance Estimation for Finite Mixtures of Poisson Regression Models and Its Applications
- Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
- Minimum Hellinger Distance Estimation for the Analysis of Count Data
- Minimum Hellinger distance estimates for parametric models
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- Minimum Hellinger distance estimation of parameter in the random censorship model
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- Minimum distance estimation of GARCH(1,1) models
- Multivariate Stochastic Variance Models
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Nonlinear Regression with Dependent Observations
- On bandwidth variation in kernel estimates. A square root law
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- Robust Statistics
- Scale space view of curve estimation.
- Semi-Nonparametric Maximum Likelihood Estimation
- Simulated maximum likelihood estimation of multivariate mixed‐Poisson regression models, with application
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Cited in
(10)- Minimum distance estimation in a finite mixture regression model
- Robust small sample accurate inference in moment condition models
- GMC/GEL estimation of stochastic volatility models
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
- Efficient Hellinger distance estimates for semiparametric models
- The Heston Riemannian distance function
- One-step minimum Hellinger distance estimation
- Simulated Hellinger disparity estimation of a cyclical long memory process
- Profile Hellinger distance estimation
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