Effects of outliers on the identification and estimation of GARCH models
DOI10.1111/j.1467-9892.2006.00519.xzbMath1164.62041OpenAlexW2107278988MaRDI QIDQ5430496
Daniel Peña, Esther Ruiz Ortega, M. Angeles Carnero
Publication date: 16 December 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/4742
maximum likelihood estimatehomoscedasticitygeneralized least squares estimateadditive consecutive outliersrobust Lagrange multiplier test
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)
Related Items (16)
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