In this paper, from the estimating equation-based sufficient dimension reduction method in the literature, its robust version is proposed to alleviate the impact from outliers. To achieve this, a robust nonparametric regression estimator is suggested. The estimator is plugged in the estimating...

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and a GARCH process for the underlying volatility is introduced. The estimator does not rely on any initial parametric estimator of the conditional mean function, and this feature...

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and GARCH-type underlying volatility is introduced. Based on the profile likelihood approach, it does not rely on any initial parametric estimator of the conditional mean function,...

Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time series parametrically (such as VAR, GARCH), but specifies the multivariate...

ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is present. These include financial time series, which can be particularly heavy tailed. However,...