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

DOI10.2307/2998574MaRDI QIDQ4531055zbMATH OpenOpenAlexFDO

Authors Shinichi Sakata, Halbert White

Publication date 29 May 2002

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2998574

zbMATH Keywords

\(S\)-estimationconditional volatilityhigh breakdown point estimationquasi maximum likelihood estimationS\&P 500

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(39)

• Robust estimation of dimension reduction space
• Smoothed L-estimation of regression function
• A Monte Carlo comparison of several high breakdown and efficient estimators
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
• Outliers and GARCH models in financial data
• Testing the existence of moments for GARCH processes
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Correcting outliers in GARCH models: a weighted forward approach
• Robust M-estimation of multivariate GARCH models
• Wavelet-based detection of outliers in financial time series
• Least trimmed squares in nonlinear regression under dependence
• Robust estimation and inference for heavy tailed GARCH
• Generalized method of trimmed moments
• Robust efficient method of moments
• Robust GMM tests for structural breaks
• Outliers and misleading leverage effect in asymmetric GARCH-type models
• Detecting level shifts in ARMA-GARCH (1,1) Models
• General trimmed estimation: robust approach to nonlinear and limited dependent variable models
• Reweighted least trimmed squares: an alternative to one-step estimators
• Semiparametrically weighted robust estimation of regression models
• Robust score and portmanteau tests of volatility spillover
• The effects of outliers on two nonlinearity tests
• A robust closed-form estimator for the GARCH(1,1) model
• Semiparametric robust estimation of truncated and censored regression models
• Robust efficient method of moments estimation
• Effects of outliers on the identification and estimation of GARCH models
• Forecasting volatility in GARCH models with additive outliers
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• \(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations
• Predicting stock realized variance based on an asymmetric robust regression approach
• Quantitative robustness of instance ranking problems
• \(\sqrt n\)-consistent robust integration-based estimation
• Title not available (Why is no real title available?)
• Robust subsampling
• Efficient robust estimation of time-series regression models.
• Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• Robust estimates for GARCH models
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

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