High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
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Publication:4531055
DOI10.2307/2998574zbMath1015.91530OpenAlexW2042357313MaRDI QIDQ4531055
Halbert White, Shinichi Sakata
Publication date: 29 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2998574
high breakdown point estimationquasi maximum likelihood estimationconditional volatility\(S\)-estimationS\&P 500
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