This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment … when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance …

with the dimension of the matrix. We propose an estimation method of the parameters based on a log-linear property of the … structure, and also a quasi-maximum likelihood estimation (QMLE) method. We establish the rate of convergence of the estimated …

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected … an input in the second step to estimate the parameters characterizing the risk-return tradeoff via a GMM approach. We …