Seminar at SMU Delhi

July 20, 2011 (Wednesday) , 3:30 PM at Webinar
Speaker: Kanchan Mukherjee, Lancaster University, UK
Title: Robust Estimation under Conditional Heteroscedasticity
Abstract of Talk
In this talk, we discuss estimation of parameters for heteroscedastic models. In particular, we propose classes of rank and M-estimators of the parameters associated with the conditional mean function of the heteroscedastic autoregressive models and the class of M-estimators of the parameters of the symmetric as well as asymmetric heteroscedasticity. We discuss theoretical as well as empirical properties of the proposed estimators. Applications to the analysis of the financial data are presented.