Effects of outliers on the identification and estimation of GARCH models

DOI10.1111/j.1467-9892.2006.00519.xzbMath1164.62041OpenAlexW2107278988MaRDI QIDQ5430496

Daniel Peña, Esther Ruiz Ortega, M. Angeles Carnero

Publication date: 16 December 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/4742

zbMATH Keywords

maximum likelihood estimatehomoscedasticitygeneralized least squares estimateadditive consecutive outliersrobust Lagrange multiplier test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

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• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

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