RANK-BASED ESTIMATION FOR GARCH PROCESSES
نویسندگان
چکیده
منابع مشابه
Rank-Based Estimation for GARCH Processes
We consider a rank-based technique for estimating GARCH model parameters, some of which are scale transformations of conventional GARCH parameters. The estimators are obtained by minimizing a rank-based residual dispersion function similar to the one given in Jaeckel (1972). They are useful for GARCH order selection and preliminary estimation. We give a limiting distribution for the rank estima...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2012
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466612000047