Minimum α-divergence estimation for arch models

Journal of Time Series Analysis

Volumn 27, Issue 1, 2006, Pages 19-39

  Chandra, S Ajay ^a   Taniguchi, Masanobu ^b  

^a UNIVERSITY OF THE SOUTH PACIFIC   (Fiji)

^b WASEDA UNIVERSITY   (Japan)

Author keywords

divergence; ARCH model; Asymptotic efficiency; Conditional least squares estimator; Kernel density estimator; Residual empirical process; Robustness

Indexed keywords

EID: 33645162669     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00444.x     Document Type: Article

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