A doubly robustified estimating function for ARCH time series models

DOI10.1016/J.JKSS.2012.12.003MaRDI QIDQ2479693zbMATH OpenOpenAlexFDO

Authors Sahm Kim, S. Y. Hwang

Publication date 1 April 2008

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2012.12.003

zbMATH Keywords

ARCH modelHuber's functiondoubly robustified estimating function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(1)

• Robust estimates for arch processes

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