A robust closed-form estimator for the GARCH(1,1) model

DOI10.1080/00949655.2015.1077387MaRDI QIDQ5222426zbMATH OpenOpenAlexFDO

Authors Natalia Bahamonde, Helena Veiga

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10071/14722

zbMATH Keywords

additive outliersautocorrelationsrobustnessvalue-at-riskvolatility forecasting

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• A Comparative Study of Several Robust Estimates of Slope, Intercept, and Scale in Linear Regression
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
• Assessment of Local Influence in GARCH Processes
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Effects of outliers on the identification and estimation of GARCH models
• Generalized autoregressive conditional heteroscedasticity
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• Outliers in GARCH processes
• Robust estimates for GARCH models
• Testing normality in econometric models
• Value at risk estimation
• Wavelet-based detection of outliers in financial time series

Cited in

(12)

• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Correcting outliers in GARCH models: a weighted forward approach
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Robust recursive estimation of GARCH models.
• The comparison of robust estimates for GARCH(1, 1) model and application of example
• A closed-form estimator for the multivariate GARCH(1,1) model
• Some closed form robust moment-based estimators for the MEM(1,1)
• M-estimates for the multiplicative error model
• An almost closed form estimator for the EGARCH model
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• Robust Two-Step Wavelet-Based Inference for Time Series Models

Describes a project that uses

Uses Software

• CAViaR

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