Effects of outliers on the identification and estimation of GARCH models

DOI10.1111/j.1467-9892.2006.00519.xzbMath1164.62041MaRDI 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

zbMATH Keywords

maximum likelihood estimate; homoscedasticity; generalized least squares estimate; additive consecutive outliers; robust Lagrange multiplier test

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

62G35: Nonparametric robustness

62F03: Parametric hypothesis testing

62F35: Robustness and adaptive procedures (parametric inference)

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