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

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.