Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models
ContributorsLa Vecchia, Davide; Hallin, Marc
MandatorECARES European Center for Advanced Research in Economics and Statistics, Université Libre de Bruxelles and ORFE, Princeton University
Number of pages44
PublisherBrussels : ECARES European Center for Advanced Research in Economics and Statistics, Université Libre de Bruxelles and ORFE, Princeton University
Collection
- ECARES, Working Paper; 2014-45
Publication date2014
Abstract
Keywords
- Conditional heteroskedasticity
- Distribution-freeness
- Forecasting
- Lévy processes
- One-step R-Estimators
Citation (ISO format)
LA VECCHIA, Davide, HALLIN, Marc. Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models. 2014
Main files (1)
Report
Identifiers
- PID : unige:75157
- Report identifier : ECARES WP 2014-45