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Correcting outliers in GARCH models: a weighted forward approach - MaRDI portal

Correcting outliers in GARCH models: a weighted forward approach (Q2338226)

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Correcting outliers in GARCH models: a weighted forward approach
scientific article

    Statements

    title
    Correcting outliers in GARCH models: a weighted forward approach (English)
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    author
    Lisa Crosato
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    Luigi Grossi
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    publication date
    21 November 2019
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    zbMATH Keywords
    extreme observations
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    GARCH models
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    outliers
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    robust statistics
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    weighted forward search
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    cites work
    Q3723487
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    Q2906620
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    Robust Statistics
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    Robust Statistics
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    Q4692741
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62G35
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    62P05
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    91B84
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    62G32
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    65C05
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    zbMATH DE Number
    7134477
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    OpenAlex ID
    W2607033458
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