Assessing the bias of maximum likelihood estimates of contaminated garch models
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Publication:2703008
DOI10.1080/00949650008812051zbMath0961.62078OpenAlexW2040563026MaRDI QIDQ2703008
Publication date: 5 June 2001
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650008812051
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)
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Uses Software
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