Robust estimation and inference for heavy tailed GARCH
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Publication:2515512
DOI10.3150/14-BEJ616zbMath1319.62192arXiv1507.07653MaRDI QIDQ2515512
Publication date: 5 August 2015
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.07653
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)
Related Items (12)
Robust parameter estimation of regression model with AR(p) error terms ⋮ SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ M-estimates for the multiplicative error model ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Outliers and misleading leverage effect in asymmetric GARCH-type models ⋮ On the measurement and treatment of extremes in time series ⋮ Adjusted extreme conditional quantile autoregression with application to risk measurement ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Non-standard inference for augmented double autoregressive models with null volatility coefficients ⋮ Correcting outliers in GARCH models: a weighted forward approach ⋮ Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
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