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On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index

Kim, Tae-hwan; White, Halbert - 2003

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Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization

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Discussion of "Simple estimators for invertible index models" by H. Ahn, H. Ichimura, J. Powell, and P. Ruud

Khan, Shakeeb; Tamer, Elie T. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 11-15

Persistent link: https://www.econbiz.de/10011898427

Robust volatility estimation with and without the drift parameter

Shaik, Muneer; Maheswaran, S. - In: Journal of quantitative economics 17 (2019) 1, pp. 57-91

Persistent link: https://www.econbiz.de/10012418637

A new unbiased additive robust volatility estimation using extreme values of asset prices

Shaik, Muneer; Maheswaran, S. - In: Financial markets and portfolio management 34 (2020) 3, pp. 313-347

Persistent link: https://www.econbiz.de/10012289673

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

Robustness and local linearisation in economic models

George, Donald A. R.; Oxley, Les - In: Journal of economic surveys 13 (1999) 5, pp. 529-550

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Robustness and local linearisation in economic models

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Are there night and day time effects in US equity index returns? : a robust econometric analysis

Monteiro, João D.; Manso, José Ramos Pires - In: International journal of economic perspectives : IJEP 11 (2017) 1, pp. 291-313

Persistent link: https://www.econbiz.de/10011762838

Errors, robustness, and the fourth quadrant

Taleb, Nassim Nicholas - In: International journal of forecasting 25 (2009) 4, pp. 744-759

Persistent link: https://www.econbiz.de/10003921416