12 citations · 12 across the 3 of their papers we have counts for
3 papers
stat.ME2020
M-estimation in GARCH Models in the Absence of Higher-Order Moments
Marc Hallin, Hang Liu, Kanchan Mukherjee
We consider a class of M-estimators of the parameters of a GARCH (p,q) model. These estimators involve score functions and, for adequate choices of the score functions, are asympto…
math.ST2019
R-estimators in GARCH models; asymptotics, applications and bootstrapping
Hang Liu, Kanchan Mukherjee
The quasi-maximum likelihood estimation is a commonly-used method for estimating GARCH parameters. However, such estimators are sensitive to outliers and their asymptotic normality…
math.ST2007★ 12 cited
On the design-consistency property of hierarchical Bayes estimators in finite population sampling
P. Lahiri, Kanchan Mukherjee
We obtain a limit of a hierarchical Bayes estimator of a finite population mean when the sample size is large. The limit is in the sense of ordinary calculus, where the sample obse…