Analyzing Financial Time Series through Robust Estimators

DOI10.2202/1558-3708.1224MaRDI QIDQ3368333zbMATH OpenOpenAlexFDO

Authors Luigi Grossi

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1224

zbMATH Keywords

Forward SearchGARCH ModelsOutliersRobust Estimators

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Correcting outliers in GARCH models: a weighted forward approach
• Robust time series analysis through the forward search
• Robust recursive estimation of GARCH models.
• Extensions of the Forward Search to Time Series
• Kurtosis maximization for outlier detection in GARCH models

Cited in

(8)

• Correcting outliers in GARCH models: a weighted forward approach
• Detecting atypical observations in financial data: the forward search for elliptical copulas
• Robust modeling of GARCH model based on weighted function and empirical analysis
• Robust recursive estimation of GARCH models.
• Robust time series analysis through the forward search
• Analysis of economic time series: effects of extremal observations on testing heteroscedastic components
• Kurtosis maximization for outlier detection in GARCH models
• Robust asset allocation with conditional value at risk using the forward search

This page was built for publication: Analyzing Financial Time Series through Robust Estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368333)