Robust and efficient estimation of GARCH models based on Hellinger distance-Reference-Cited by-同舟云学术

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Robust and efficient estimation of GARCH models based on Hellinger distance

Published:2021-08-27 Issue: Volume: Page:1-27
ISSN:0266-4763
Container-title:Journal of Applied Statistics
language:en
Short-container-title:Journal of Applied Statistics

Author:

Zhao Qiang¹,Chen Liang²,Wu Jingjing³^ORCID

Affiliation:

1. School of Mathematics and Statistics, Shandong Normal University, Jinan, Shandong, People's Republic of China

2. Department of Risk Management and Oversight, TransAlta Corporation, Calgary, AB, Canada

3. Department of Mathematics and Statistics, University of Calgary, Calgary, AB, Canada

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/02664763.2021.1970120

Reference22 articles.

1. RANK-BASED ESTIMATION FOR GARCH PROCESSES

2. Estimation of GARCH Models from the Autocorrelations of the Squares of a Process

3. Minimum Hellinger Distance Estimates for Parametric Models

4. A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

5. The "Automatic" Robustness of Minimum Distance Functionals

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A hybrid approach to the discrepancy in financial performance’s robustness;Operational Research;2022-05-03

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