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
Full text not available from this repository.Official URL: http://dx.doi.org/10.1016/B978-0-444-53858-1.00006...
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: | 26 Jul 2012 23:43 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/55736 |
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