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A robust closed-form estimator for the GARCH(1,1) model - MaRDI portal

A robust closed-form estimator for the GARCH(1,1) model (Q5222426)

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scientific article; zbMATH DE number 7184689
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A robust closed-form estimator for the GARCH(1,1) model
scientific article; zbMATH DE number 7184689

    Statements

    title
    A robust closed-form estimator for the GARCH(1,1) model (English)
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    author
    Natalia Bahamonde
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    Helena Veiga
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    publication date
    1 April 2020
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    zbMATH Keywords
    additive outliers
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    autocorrelations
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    robustness
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    value-at-risk
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    volatility forecasting
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    Identifiers

    zbMATH DE Number
    7184689
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    OpenAlex ID
    W2265036843
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