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Research

Dr Kanchan Mukherjee

Senior Lecturer

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  1. Published

    M-estimation in GARCH models.

    Mukherjee, K., 12/2008, In: Econometric Theory. 24, 6, p. 1530-1553 24 p.

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

  2. Published

    R-estimation in autoregression with square-integrable score function.

    Mukherjee, K. & Bai, Z. D., 1/04/2002, In: Journal of Multivariate Analysis. 81, 1, p. 167-186 20 p.

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

  3. Published

    Estimating the ARCH parameters by solving linear equations.

    Mukherjee, K. & Bose, A., 03/2003, In: Journal of Time Series Analysis. 24, 2, p. 127-136 10 p.

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

  4. Published

    On the alignment of multiple time series fragments.

    Mukherjee, K., Shumway, R. & Verosub, K., 23/05/2007, In: Biometrika. 94, 2, p. 347-358 12 p.

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

  5. Published

    Generalized R-estimators under Conditional heteroscedasticity.

    Mukherjee, K., 12/2007, In: Journal of Econometrics. 141, 2, p. 383-415 33 p.

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

  6. Published

    A study of Value-at-Risk based on M-estimators of the conditional heteroscedastic models

    Mukherjee, K. & Iqbal, F., 08/2012, In: Journal of Forecasting. 31, 5, p. 377-390 14 p.

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

  7. Published

    A Review of Robust Estimation under Conditional Heteroscedasticity

    Mukherjee, K., 2012, A Review of Robust Estimation under Conditional Heteroscedasticity. Rao, C. R., Subba Rao, T. & Subba Rao, S. (eds.). Oxford: Elsevier, Vol. 30. p. 123-156 34 p. (Handbook of Statistics).

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter (peer-reviewed)

  8. Published

    Minimum distance estimation in linear models with long range dependent errors.

    Mukherjee, K., 7/12/1994, In: Statistics and Probability Letters. 21, 5, p. 347-355 9 p.

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

  9. Published

    Bayesian signal estimation

    Mukherjee, K. & Majumdar, S., 1996, In: Statistics and Decisions. 14, p. 275-293 19 p.

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

  10. Published

    Robust estimation in nonlinear regression via minimum distance method

    Mukherjee, K., 1996, In: Mathematical Methods of Statistics . 5, p. 99-112 14 p.

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

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