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M-estimation in GARCH models
Mukherjee, Kanchan - In: Econometric theory 24 (2008) 6, pp. 1530-1553
Persistent link: https://www.econbiz.de/10003771782
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R-estimators in GARCH models : asymptotics and applications
Liu, Hang; Mukherjee, Kanchan - In: The econometrics journal 25 (2022) 1, pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
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Bootstrapping a linear estimator of the ARCH parameters
Bose, Arup (contributor); Mukherjee, Kanchan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003732581
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A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat; Mukherjee, Kanchan - In: Journal of forecasting 31 (2012) 5, pp. 377-390
Persistent link: https://www.econbiz.de/10009582118