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A Review of Robust Estimation under Conditional Heteroscedasticity

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A Review of Robust Estimation under Conditional Heteroscedasticity. / Mukherjee, Kanchan.
A Review of Robust Estimation under Conditional Heteroscedasticity. ed. / C R Rao; T Subba Rao; S Subba Rao. Vol. 30 Oxford: Elsevier, 2012. p. 123-156 (Handbook of Statistics).

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

Harvard

Mukherjee, K 2012, A Review of Robust Estimation under Conditional Heteroscedasticity. in CR Rao, T Subba Rao & S Subba Rao (eds), A Review of Robust Estimation under Conditional Heteroscedasticity. vol. 30, Handbook of Statistics, Elsevier, Oxford, pp. 123-156. https://doi.org/10.1016/B978-0-444-53858-1.00006-5

APA

Mukherjee, K. (2012). A Review of Robust Estimation under Conditional Heteroscedasticity. In C. R. Rao, T. Subba Rao, & S. Subba Rao (Eds.), A Review of Robust Estimation under Conditional Heteroscedasticity (Vol. 30, pp. 123-156). (Handbook of Statistics). Elsevier. https://doi.org/10.1016/B978-0-444-53858-1.00006-5

Vancouver

Mukherjee K. A Review of Robust Estimation under Conditional Heteroscedasticity. In Rao CR, Subba Rao T, Subba Rao S, editors, A Review of Robust Estimation under Conditional Heteroscedasticity. Vol. 30. Oxford: Elsevier. 2012. p. 123-156. (Handbook of Statistics). doi: 10.1016/B978-0-444-53858-1.00006-5

Author

Mukherjee, Kanchan. / A Review of Robust Estimation under Conditional Heteroscedasticity. A Review of Robust Estimation under Conditional Heteroscedasticity. editor / C R Rao ; T Subba Rao ; S Subba Rao. Vol. 30 Oxford : Elsevier, 2012. pp. 123-156 (Handbook of Statistics).

Bibtex

@inbook{38828a35d6714524934f9527d305d6d9,
title = "A Review of Robust Estimation under Conditional Heteroscedasticity",
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.",
keywords = "Heteroscedastic models, Rank and M-estimation , VaR",
author = "Kanchan Mukherjee",
year = "2012",
doi = "10.1016/B978-0-444-53858-1.00006-5",
language = "English",
isbn = "978-0-444-53858-1",
volume = "30",
series = "Handbook of Statistics",
publisher = "Elsevier",
pages = "123--156",
editor = "Rao, {C R } and {Subba Rao}, {T } and {Subba Rao}, S",
booktitle = "A Review of Robust Estimation under Conditional Heteroscedasticity",

}

RIS

TY - CHAP

T1 - A Review of Robust Estimation under Conditional Heteroscedasticity

AU - Mukherjee, Kanchan

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

KW - Heteroscedastic models

KW - Rank and M-estimation

KW - VaR

U2 - 10.1016/B978-0-444-53858-1.00006-5

DO - 10.1016/B978-0-444-53858-1.00006-5

M3 - Chapter (peer-reviewed)

SN - 978-0-444-53858-1

VL - 30

T3 - Handbook of Statistics

SP - 123

EP - 156

BT - A Review of Robust Estimation under Conditional Heteroscedasticity

A2 - Rao, C R

A2 - Subba Rao, T

A2 - Subba Rao, S

PB - Elsevier

CY - Oxford

ER -