Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models

We define rank-based estimators (R-estimators) for semiparametric time series models in whichthe conditional location and scale depend on a Euclidean parameter, while the innovation density isan infinite-dimensional nuisance. Applications include linear and nonlinear models, featuring eitherhomo- or heteroskedasticity (e.g. AR-ARCH and discretely observed diffusions with jumps). We showhow to construct easy-to-implement R-estimators, which achieve semiparametric efficiency at somepredetermined reference density while preserving root-n consistency, irrespective of the actual density.Numerical examples illustrate the good performances of the proposed estimators. An empirical analysisof the log-return and log-transformed two-scale realized volatility concludes the paper.