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A Review of Robust Estimation under Conditional Heteroscedasticity

Research output: Contribution in Book/Report/ProceedingsChapter (peer-reviewed)

Published

Publication date2012
Host publicationA Review of Robust Estimation under Conditional Heteroscedasticity
EditorsC R Rao, T Subba Rao, S Subba Rao
Place of publicationOxford
PublisherElsevier
Pages123-156
Number of pages34
Volume30
ISBN (Print)978-0-444-53858-1
Original languageEnglish

Publication series

NameHandbook of Statistics

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.