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A Review of Robust Estimation under Conditional Heteroscedasticity

Mukherjee, Kanchan (2012) A Review of Robust Estimation under Conditional Heteroscedasticity. In: A Review of Robust Estimation under Conditional Heteroscedasticity. Handbook of Statistics, 30 . Elsevier, Oxford, pp. 123-156. ISBN 978-0-444-53858-1

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Abstract

In this chapter, we discuss estimation of parameters for heteroscedastic models. In particular, we discuss the class of M-estimators for the parameters of the symmetric as well as asymmetric heteroscedasticity and the classes of rank and M-estimators of the parameters associated with the conditional mean function of the autoregressive models. We investigated robustness properties of the proposed estimators through extensive simulation and financial data analysis.

Item Type: Contribution in Book/Report/Proceedings
Uncontrolled Keywords: Heteroscedastic models ; Rank and M-estimation ; VaR
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 55736
Deposited By: ep_importer_pure
Deposited On: 12 Jul 2012 16:30
Refereed?: No
Published?: Published
Last Modified: 09 Oct 2013 15:42
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/55736

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