Effects of outliers on the identification and estimation of GARCH models (Q5430496)
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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)
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16 December 2007
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additive consecutive outliers
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robust Lagrange multiplier test
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homoscedasticity
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generalized least squares estimate
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maximum likelihood estimate
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