Minimum density power divergence estimator for GARCH models

DOI10.1007/s11749-008-0093-yzbMath1203.62158OpenAlexW2088534483MaRDI QIDQ619106

Sangyeol Lee, Junmo Song

Publication date: 22 January 2011

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-008-0093-y

zbMATH Keywords

robustnessconsistencyasymptotic normalityARCH modelsGARCH modelsdensity-based divergence measures

Mathematics Subject Classification ID

Related Items (11)

Minimum density power divergence estimator for Poisson autoregressive models ⋮ Test for parameter change in the presence of outliers: the density power divergence-based approach ⋮ Robust estimation in stochastic frontier models ⋮ Robust estimation for zero-inflated poisson autoregressive models based on density power divergence ⋮ Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence ⋮ Robust test for dispersion parameter change in discretely observed diffusion processes ⋮ Robust estimation for general integer-valued time series models ⋮ Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator ⋮ Robust test for structural instability in dynamic factor models ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Robust estimation for copula Parameter in SCOMDY models

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