M-estimate for the stationary hyperbolic GARCH models

DOI10.1007/s40300-021-00221-wzbMath1478.62247WikidataQ115600742 ScholiaQ115600742MaRDI QIDQ2070660

Ouagnina Hili, Assi N'Guessan, Abdou Kâ Diongue, Lanciné Bamba

Publication date: 24 January 2022

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40300-021-00221-w

zbMATH Keywords

outliers; M-estimate; ARCH(\(\infty\)); long memory in volatility; BM-estimate

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F35: Robustness and adaptive procedures (parametric inference)