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.