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Robust inference with GMM estimators

Ronchetti, Elvezio; Trojani, Fabio - In: Journal of econometrics 101 (2001) 1, pp. 37-69

Persistent link: https://www.econbiz.de/10001545114

Robust GMM analysis of models for the short rate process

Dell'Aquila, Rosario; Ronchetti, Elvezio; Trojani, Fabio - In: Journal of empirical finance 10 (2003) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10001752109

Indirect robust estimation of the short-term interest rate process

Czellar, Veronika (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002634951

Indirect robust estimation of the short-term interest rate process

Czellar, Veronika (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002846400

Robust small sample accurate inference in moment condition models

Lô, Serigne N. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003335766

Indirect robust estimation of the short-term interest rate process

Czellar, Veronika; Karolyi, G. Andrew; Ronchetti, Elvezio - In: Journal of empirical finance 14 (2007) 4, pp. 546-563

Persistent link: https://www.econbiz.de/10003609937

Robust efficient method of moments

Ortelli, Claudio; Trojani, Fabio - In: Journal of econometrics 128 (2005) 1, pp. 69-97

Persistent link: https://www.econbiz.de/10003002292

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This Version: May 9, 2010

Persistent link: https://www.econbiz.de/10003968460

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115

Robust GMM tests for structural breaks

Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - In: Journal of econometrics 129 (2005) 1/2, pp. 139-182

Persistent link: https://www.econbiz.de/10003172760