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Research

Dr Kanchan Mukherjee

Senior Lecturer

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  1. 2023
  2. Published

    M-Estimation in GARCH Models in the Absence of Higher-Order Moments

    Hallin, M., Liu, H. & Mukherjee, K., 1/06/2023, Research papers in Statistical Inference for Time Series and Related Models: Essays in Honor of Masanobu Taniguchi. 1 ed. Singapore: Springer, p. 195-219 25 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  3. 2021
  4. Published

    R-estimators in GARCH models: asymptotics and applications

    Liu, H. & Mukherjee, K., 31/12/2021, In: The Econometrics Journal. 25, 1, p. 98-113 16 p.

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

  5. 2020
  6. Published

    Bootstrapping M-estimators in GARCH models

    Mukherjee, K., 1/09/2020, In: Biometrika. 107, 3, p. 753-760 8 p.

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

  7. 2014
  8. Published

    On the computation of R-estimators

    Mukherjee, K. & Wang, Y., 2014, Contemporary developments in statistical theory : a festschrift for Hira Lal Koul. Lahiri, S., Schick, A., SenGupta, A. & Sriram, T. N. (eds.). Switzerland: Springer, p. 279-288 10 p. (Springer Proceedings in Mathematics & Statistics ; vol. 68).

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

  9. 2012
  10. 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

  11. 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)

  12. 2010
  13. Published

    M-estimation for some GARCH - type models : computation and application.

    Iqbal, F. & Mukherjee, K., 10/2010, In: Statistics and Computing. 20, 4, p. 435-445 11 p.

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

  14. 2009
  15. Published

    Bootstrapping a weighted linear estimator of the ARCH parameters

    Bose, A. & Mukherjee, K., 05/2009, In: Journal of Time Series Analysis. 30, 3, p. 315-331 17 p.

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

  16. 2008
  17. 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

  18. 2007
  19. 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

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