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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.
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    IQBAL, FARHAT 2012. ROBUST ESTIMATION FOR THE ORTHOGONAL GARCH MODEL *. The Manchester School, p. no.
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M-ESTIMATION IN GARCH MODELS

  • Kanchan Mukherjee (a1)
Abstract

This paper derives asymptotic normality of a class of M-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For some estimators, the asymptotic normality results are obtained only under the existence of fractional unconditional moment assumption on the error distribution and some mild smoothness and moment assumptions on the score function.

Copyright
COPYRIGHT: © Cambridge University Press 2008
Corresponding author
Address correspondence to Kanchan Mukherjee, Department of Mathematics and Statistics, Lancaster University, Lancaster LA1 4YF, United Kingdom; e-mail: k.mukherjee@lancaster.ac.uk
References
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
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