Kanchan Mukherjee

Employment

• Lancaster University

Education

Education history is unavailable.

Projects & Funding

Projects & funding information is unavailable.

Publications (31)

• Discussion of Jana Jurečková and Hira Koul’s article in Sankhya A
  Sankhya A 2025 DOI: 10.1007/s13171-025-00412-x
  +Save
• M-Estimation in GARCH Models in the Absence of Higher-Order Moments
  Research papers in Statistical Inference for Time Series and Related Models 2023
  +Save
• R-estimators in GARCH models: asymptotics and applications
  The Econometrics Journal 2021 DOI: 10.1093/ectj/utab026
  +Save
• Bootstrapping M-estimators in GARCH models
  Biometrika 2020 DOI: 10.1093/biomet/asaa023
  +Save
• On the computation of R-estimators
  Contemporary developments in statistical theory 2014 DOI: 10.1007/978-3-319-02651-0_17
  +Save
• A study of Value-at-Risk based on M-estimators of the conditional heteroscedastic models
  Journal of Forecasting 2012 DOI: 10.1002/for.1224
  +Save
• A Review of Robust Estimation under Conditional Heteroscedasticity
  A Review of Robust Estimation under Conditional Heteroscedasticity 2012 DOI: 10.1016/B978-0-444-53858-1.00006-5
  +Save
• Unpacking the Future: A Nudge Toward Wider Subjective Confidence Intervals
  2011 DOI: 10.2139/ssrn.1843184
  +Save
• M-estimation for some GARCH - type models : computation and application.
  Statistics and Computing 2010 DOI: 10.1007/s11222-009-9135-x
  +Save
• Bootstrapping a weighted linear estimator of the ARCH parameters
  Journal of Time Series Analysis 2009 DOI: 10.1111/j.1467-9892.2009.00613.x
  +Save