Coudin, Elise; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2011
, noncontinuous distributions, and very general serial dependence (linear or nonlinear) including GARCH-type and stochastic volatility …. It is easy to adapt the sign-based estimators to account for linear serial dependence. Both finite-sample and large … distributions, and very general serial dependence (linear or nonlinear). These conditions are considerably weaker than those used to …