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M-estimation in GARCH models.

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M-estimation in GARCH models. / Mukherjee, Kanchan.
In: Econometric Theory, Vol. 24, No. 6, 12.2008, p. 1530-1553.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Mukherjee, K 2008, 'M-estimation in GARCH models.', Econometric Theory, vol. 24, no. 6, pp. 1530-1553. https://doi.org/10.1017/S0266466608080602

APA

Mukherjee, K. (2008). M-estimation in GARCH models. Econometric Theory, 24(6), 1530-1553. https://doi.org/10.1017/S0266466608080602

Vancouver

Mukherjee K. M-estimation in GARCH models. Econometric Theory. 2008 Dec;24(6):1530-1553. doi: 10.1017/S0266466608080602

Author

Mukherjee, Kanchan. / M-estimation in GARCH models. In: Econometric Theory. 2008 ; Vol. 24, No. 6. pp. 1530-1553.

Bibtex

@article{e527f6227c0a4547a3e60195748a1ed5,
title = "M-estimation in GARCH models.",
abstract = "This paper derives asymptotic normality of a class of M-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For some estimators, the asymptotic normality results are obtained only under the existence of fractional unconditional moment assumption on the error distribution and some mild smoothness and moment assumptions on the score function.",
author = "Kanchan Mukherjee",
note = "http://journals.cambridge.org/action/displayJournal?jid=ECT The final, definitive version of this article has been published in the Journal, Econometric Theory, 24 (6), pp 1530-1553 2008, {\textcopyright} 2008 Cambridge University Press.",
year = "2008",
month = dec,
doi = "10.1017/S0266466608080602",
language = "English",
volume = "24",
pages = "1530--1553",
journal = "Econometric Theory",
issn = "1469-4360",
publisher = "Cambridge University Press",
number = "6",

}

RIS

TY - JOUR

T1 - M-estimation in GARCH models.

AU - Mukherjee, Kanchan

N1 - http://journals.cambridge.org/action/displayJournal?jid=ECT The final, definitive version of this article has been published in the Journal, Econometric Theory, 24 (6), pp 1530-1553 2008, © 2008 Cambridge University Press.

PY - 2008/12

Y1 - 2008/12

N2 - This paper derives asymptotic normality of a class of M-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For some estimators, the asymptotic normality results are obtained only under the existence of fractional unconditional moment assumption on the error distribution and some mild smoothness and moment assumptions on the score function.

AB - This paper derives asymptotic normality of a class of M-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For some estimators, the asymptotic normality results are obtained only under the existence of fractional unconditional moment assumption on the error distribution and some mild smoothness and moment assumptions on the score function.

U2 - 10.1017/S0266466608080602

DO - 10.1017/S0266466608080602

M3 - Journal article

VL - 24

SP - 1530

EP - 1553

JO - Econometric Theory

JF - Econometric Theory

SN - 1469-4360

IS - 6

ER -