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Generalized R-estimators under conditional heteroscedasticity

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  • Mukherjee, Kanchan

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  • Mukherjee, Kanchan, 2007. "Generalized R-estimators under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 141(2), pages 383-415, December.
    • Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:383-415
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    1. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November.
    2. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(5), pages 793-813, December.
    3. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(1), pages 3-22, February.
    4. Mukherjee, Kanchan & Bai, Z. D., 2002. "R-estimation in Autoregression with Square-Integrable Score Function," Journal of Multivariate Analysis, Elsevier, vol. 81(1), pages 167-186, April.
    5. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127.
    6. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    8. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(1), pages 107-131, April.
    9. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October.
    10. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
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    Cited by:

    1. Hang Liu & Kanchan Mukherjee, 2022. "R-estimators in GARCH models: asymptotics and applications [Rank-based estimation for GARCH processes]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 98-113.
    2. Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
    3. M. Hallin & D. La Vecchia & H. Liu, 2022. "Center-Outward R-Estimation for Semiparametric VARMA Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(538), pages 925-938, April.
    4. Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.

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