Robust estimates for GARCH models

DOI10.1016/j.jspi.2007.11.003zbMath1140.62068OpenAlexW2032562109MaRDI QIDQ935425

Nora Muler, Víctor J. Yohai

Publication date: 6 August 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2007.11.003

zbMATH Keywords

outliersM-estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

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