M-estimate for the stationary hyperbolic GARCH models

DOI10.1007/S40300-021-00221-WzbMath1478.62247OpenAlexW3192552189WikidataQ115600742 ScholiaQ115600742MaRDI QIDQ2070660

Ouagnina Hili, Assi N'Guessan, Abdou Kâ Diongue, Lanciné Bamba

Publication date: 24 January 2022

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40300-021-00221-w

zbMATH Keywords

outliersM-estimateARCH(\(\infty\))long memory in volatilityBM-estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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