Outliers and misleading leverage effect in asymmetric GARCH-type models

DOI10.1515/snde-2018-0073OpenAlexW2787056180MaRDI QIDQ2699591

Ana Pérez, M. Angeles Carnero

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0073

zbMATH Keywords

robust estimatorsQMLEconditional heteroscedasticityTGARCHAVGARCH

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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