R-estimation in semiparametric dynamic location-scale models

Author:

Hallin Marc,La Vecchia Davide

Funder

Australian Research Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference68 articles.

1. Aït-Sahalia, Y., 2006. Likelihood inference for diffusions: a survey, Frontiers in Statistics: in Honor of Peter J. Bickel′s 65th Birthday, pp. 369–407.

2. R-estimation for ARMA models;Allal;J. Nonparametr. Stat.,2001

3. Exchange rate returns standardized by realized volatility are (nearly) Gaussian;Andersen;Multinat. Finance J.,2000

4. Residual-based rank specification tests for AR-GARCH type models;Andreou;J. Econometrics,2015

5. Rank-based estimation for autoregressive moving average time series models;Andrews;J. Time Series Anal.,2008

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