Robust estimates for GARCH models (Q935425)

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Language	Label	Description	Also known as
English	Robust estimates for GARCH models	scientific article

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scholarly article

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Robust estimates for GARCH models (English)

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Víctor J. Yohai

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Journal of Statistical Planning and Inference

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publication date

6 August 2008

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zbMATH Keywords

M-estimates

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outliers

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jspi.2007.11.003

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GARCH processes: structure and estimation

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Robust estimation for linear regression with asymmetric errors

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Generalized autoregressive conditional heteroscedasticity

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ARCH modeling in finance. A review of the theory and empirical evidence

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Stationarity of GARCH processes and of some nonnegative time series

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Stochastic Limit Theory

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Inference in Arch and Garch Models with Heavy-Tailed Errors

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Robust Estimation of a Location Parameter

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Robust regression: Asymptotics, conjectures and Monte Carlo

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Robust Statistics

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Assessing the bias of maximum likelihood estimates of contaminated garch models

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Robust estimates for arch processes

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Robust estimates for GARCH models

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Least absolute deviations estimation for ARCH and GARCH models

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Robust inference with GMM estimators

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High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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High breakdown-point and high efficiency robust estimates for regression

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JSPI.2007.11.003

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Mathematics(1 entry)

mardi Publication:935425

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