Robust time series clustering of GARCH (1,1) models with outliers

DOI10.1080/02331888.2024.2426741MaRDI QIDQ6667627

Abdurakhman, Dedi Rosadi, Unnamed Author

Publication date: 20 January 2025

Published in: Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Robust estimates for GARCH models
• Clustering heteroskedastic time series by model-based procedures
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Robust regression: Asymptotics, conjectures and Monte Carlo
• GARCH-based robust clustering of time series
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• QUADRATIC ASSIGNMENT AS A GENERAL DATA ANALYSIS STRATEGY
• Robust estimates for arch processes
• GARCH Models
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Robust Estimation of a Location Parameter
• Time Series Clustering and Classification

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