Robust recursive estimation of GARCH models.

DOI10.14736/KYB-2018-6-1138MaRDI QIDQ3120381zbMATH OpenOpenAlexFDO

Authors Tomáš Cipra, Radek Hendrych

Publication date 1 March 2019

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147601

zbMATH Keywords

GARCH modelKalman filteroutlierrobust recursive estimationvolatility

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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