Robust estimates for arch processes

DOI10.1111/1467-9892.00268MaRDI QIDQ4431624zbMATH OpenOpenAlexFDO

Authors Nora Muler, Victor J. Yohai

Publication date 22 October 2003

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00268

zbMATH Keywords

filteringmodified likelihood estimationtau-estimate

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Approximate non-Gaussian filtering with linear state and observation relations
• Generalized autoregressive conditional heteroscedasticity
• Mixing: Properties and examples
• On the optimality of S-estimators

Cited in

(21)

• Robust and efficient estimation of multivariate scatter and location
• Robust tests for linear regression models based on \(\tau\)-estimates
• M-estimate for the stationary hyperbolic GARCH models
• Robust M-estimation of multivariate GARCH models
• A doubly robustified estimating function for ARCH time series models
• Robust parameter estimation for the Ornstein-Uhlenbeck process
• A robust proposal of estimation for the sufficient dimension reduction problem
• M-estimator of a generalized linear model with measurement errors
• Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
• scientific article; zbMATH DE number 6919723 (Why is no real title available?)
• Robust estimation of conditional variance of time series using density power divergences
• M-estimates for the multiplicative error model
• Robust estimation methods for a class of log-linear count time series models
• Effects of outliers on the identification and estimation of GARCH models
• Local Likelihood for non‐parametric ARCH(1) models
• Robust modelling of DTARCH models
• Robust time series clustering of GARCH (1,1) models with outliers
• Minimum distance estimates in the ARCH model
• High-breakdown robust multivariate methods
• Robust estimates for GARCH models
• On robust testing for conditional heteroscedasticity in time series models

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