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A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models

Iqbal, Farhat; Mukherjee, Kanchan - In: Journal of Forecasting 31 (2012) 5, pp. 377-390

Persistent link: https://www.econbiz.de/10011006238

Minimum distance estimation in linear models with long-range dependent errors

Mukherjee, Kanchan - In: Statistics & Probability Letters 21 (1994) 5, pp. 347-355

This paper discusses the asymptotic representations of a class of L2-distance estimators based on weighted empirical processes in a multiple linear regression model when the errors are a function of stationary Gaussian random variables that are long-range dependent. Unlike the independent errors...

Persistent link: https://www.econbiz.de/10005254272

Regression - Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling designs

Lahiri, S.N.; Mukherjee, Kanchan - In: Annals of the Institute of Statistical Mathematics : AISM 56 (2004) 2, pp. 225-250

Persistent link: https://www.econbiz.de/10006548830

Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling designs

Lahiri, S.N.; Mukherjee, Kanchan - In: Annals of the Institute of Statistical Mathematics : AISM 56 (2004) 4, pp. 225-250

Persistent link: https://www.econbiz.de/10006550162

Empirical Bayes Estimation of Einite Population Means from Complex Surveys

Arora, Vipin; Lahiri, P.; Mukherjee, Kanchan - In: Journal of the American Statistical Association : JASA 92 (1997) 440, pp. 1555-1562

Persistent link: https://www.econbiz.de/10006629774

Generalized R-estimators under conditional heteroscedasticity

Mukherjee, Kanchan - In: Journal of econometrics 141 (2007) 2, pp. 383-415

Persistent link: https://www.econbiz.de/10007859784

A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models

Iqbal, Farhat; Mukherjee, Kanchan - In: Journal of forecasting 31 (2012) 5, pp. 377-391

Persistent link: https://www.econbiz.de/10009991589

Unpacking the Future: A Nudge Toward Wider Subjective Confidence Intervals

Jain, Kriti; Mukherjee, Kanchan; Bearden, J. Neil; … - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 1970-1987

Persistent link: https://www.econbiz.de/10010178619

ARTICLES - Linearization of Randomly Weighted Empiricals under Long Range Dependence with Applications to Nonlinear Regression Quantiles

Mukherjee, Kanchan - In: Econometric theory 16 (2000) 3, pp. 301-323

Persistent link: https://www.econbiz.de/10006983612

M-ESTIMATION IN GARCH MODELS

Mukherjee, Kanchan - In: Econometric theory 24 (2008) 6, pp. 1530-1553

Persistent link: https://www.econbiz.de/10008110452

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