Effects of outliers on the identification and estimation of GARCH models (Q5430496): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2107278988 / rank | |||
Normal rank | |||
Revision as of 19:03, 19 March 2024
scientific article; zbMATH DE number 5220233
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effects of outliers on the identification and estimation of GARCH models |
scientific article; zbMATH DE number 5220233 |
Statements
Effects of outliers on the identification and estimation of GARCH models (English)
0 references
16 December 2007
0 references
additive consecutive outliers
0 references
robust Lagrange multiplier test
0 references
homoscedasticity
0 references
generalized least squares estimate
0 references
maximum likelihood estimate
0 references
