A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

DOI10.1016/j.csda.2008.09.018zbMath1453.62100OpenAlexW2046768611MaRDI QIDQ961418

Luigi Grossi, Fabrizio Laurini

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.09.018

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (7)

Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints ⋮ Robust estimation of efficient mean-variance frontiers ⋮ Robust M-estimation of multivariate GARCH models ⋮ Wavelet-based detection of outliers in financial time series ⋮ The forward search: theory and data analysis ⋮ A robust closed-form estimator for the GARCH(1,1) model ⋮ Correcting outliers in GARCH models: a weighted forward approach

Cites Work

• Unnamed Item
• Unnamed Item
• A unified approach to nonlinearity, structural change, and outliers
• On robust testing for conditional heteroscedasticity in time series models
• A Lagrange multiplier test for GARCH models
• Exploring multivariate data with the forward search.
• Robust diagnostic regression analysis
• Generalized autoregressive conditional heteroscedasticity
• Assessing the bias of maximum likelihood estimates of contaminated garch models
• Robust Time Series Analysis through the Forward Search
• Least Median of Squares Regression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• One‐sided testing for conditional heteroskedasticity in time series models
• Fast Very Robust Methods for the Detection of Multiple Outliers
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Analysis of economic time series: effects of extremal observations on testing heteroscedastic components
• The effects of outliers on two nonlinearity tests
• Assessment of Local Influence in GARCH Processes
• Quadratic ARCH Models
• Effects of outliers on the identification and estimation of GARCH models

This page was built for publication: A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity