Effects of outliers on the identification and estimation of GARCH models (Q5430496): Difference between revisions

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+Generalized autoregressive conditional heteroscedasticity
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+ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Q2906620
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+A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
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+Robust estimates for arch processes
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
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+A Powerful Portmanteau Test of Lack of Fit for Time Series
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+High Breakdown Point Conditional Dispersion Estimation with Application to S &amp; P 500 Daily Returns Volatility
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