Robust recursive estimation of GARCH models (Q3120381)

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Robust recursive estimation of GARCH models
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    title
    Robust recursive estimation of GARCH models (English)
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    author
    Tomáš Cipra
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    Radek Hendrych
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    published in
    Kybernetika
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    publication date
    1 March 2019
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    Mathematics Subject Classification ID
    62M10
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    62F35
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    62P20
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    zbMATH DE Number
    7031765
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    zbMATH Keywords
    GARCH model
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    Kalman filter
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    outlier
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    robust recursive estimation
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    volatility
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