This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility Author info | Abstract | Publisher info | Download info | Related research | Statistics Shinichi Sakata
Halbert White
Additional information is available for the following
registered author(s):
The authors show that quasimaximum likelihood (QML) estimators for conditional dispersion models can be severely affected by a small number of outliers such as market crashes and rallies, and they propose new estimation strategies (the two-stage Hampel estimators and two-stage S-estimators) resistant to the effects of outliers and study the properties of these estimators. They apply their methods to estimate models of the conditional volatility of the daily returns of the S&P 500 Cash Index series. In contrast to QML estimators, the authors' proposed method resists outliers, revealing an informative new picture of volatility dynamics during 'typical' daily market activity.
To our knowledge, this item is not available for
download . To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Article provided by Econometric Society in its journal Econometrica .
Volume (Year): 66 (1998)
Issue (Month): 3 (May)
Pages: 529-568
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:ecm:emetrp:v:66:y:1998:i:3:p:529-568Contact details of provider: Phone: 1 212 998 3820 Fax: 1 212 995 4487 Email: Web page: http://www.econometricsociety.org/ More information through EDIRC
Order Information: Email: Web: http://www.blackwellpublishing.com/memb.asp?ref=0012-9682
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Pavel Cizek & Wolfgang Härdle, 2005.
"Robust estimation of dimension reduction space ,"
SFB 649 Discussion Papers
SFB649DP2005-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Other versions:
Cizek, Pavel & Haerdle, Wolfgang, 2005.
"Robust estimation of dimension reduction space ,"
Discussion Paper
31, Tilburg University, Center for Economic Research.
[Downloadable!] Cizek, P. & Hardle, W., 2006.
"Robust estimation of dimension reduction space ,"
Computational Statistics & Data Analysis ,
Elsevier, vol. 51(2), pages 545-555, November.
[Downloadable!] (restricted) Ph.H.B.F. Franses & D.J.C. van Dijk, 1999.
"Outlier detection in the GARCH (1,1) model ,"
Econometric Institute Report
155, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Other versions: Jurgen A. Doornik & Marius Ooms, 2005.
"Outlier Detection in GARCH Models ,"
Economics Papers
2005-W24, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Other versions: Sunil K. Sapra, 2003.
"High-breakdown point estimation of some regression models ,"
Applied Economics Letters ,
Taylor and Francis Journals, vol. 10(14), pages 875-878, November.
[Downloadable!] (restricted)
Vincenzo Atella & Francesco Brindisi & Partha Deb & Furio C. Rosati, 2004.
"Determinants of access to physician services in Italy: a latent class seemingly unrelated probit approach ,"
Health Economics ,
John Wiley & Sons, Ltd., vol. 13(7), pages 657-668.
[Downloadable!]
Other versions: Cizek, P., 2007.
"General Trimmed Estimation: Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaced by DP 2007-65) ,"
Discussion Paper
2007-1, Tilburg University, Center for Economic Research.
Cizek, P. & Tamine, J. & Haerdle, W., 2006.
"Smoothed L-estimation of regression function ,"
Discussion Paper
20, Tilburg University, Center for Economic Research.
[Downloadable!]
Other versions: Partha Deb & Ann M. Holmes, 2000.
"Estimates of use and costs of behavioural health care: a comparison of standard and finite mixture models ,"
Health Economics ,
John Wiley & Sons, Ltd., vol. 9(6), pages 475-489.
Halbert White & Tae-Hwan Kim, 2002.
"Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression ,"
University of California at San Diego, Economics Working Paper Series
2002-09, Department of Economics, UC San Diego.
[Downloadable!]
L. Ingber & R.P. Mondescu, .
"Optimization of trading physics models of markets ,"
Lester Ingber Papers
01ot, Lester Ingber.
[Downloadable!]
Other versions: Jussi Tolvi, 2001.
"Outliers in eleven Finnish macroeconomic time series ,"
Finnish Economic Papers ,
Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
[Downloadable!]
Cizek, P., 2007.
"Efficient Robust Estimation of Time-Series Regression Models ,"
Discussion Paper
2007-95, Tilburg University, Center for Economic Research.
[Downloadable!]
Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005.
"Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models ,"
University of St. Gallen Department of Economics working paper series 2005
2005-01, Department of Economics, University of St. Gallen.
[Downloadable!]
Other versions:
Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2004.
"Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models ,"
Cahiers du Département d'Econométrie
2004.04, Département d'Econométrie, Université de Genève.
[Downloadable!] Mancini, Loriano & Ronchetti, Elvezio & Trojani, Fabio, 2005.
"Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models ,"
Journal of the American Statistical Association ,
American Statistical Association, vol. 100, pages 628-641, June.
[Downloadable!] (restricted) Atella Vincenzo & Francesco Brindisi & Partha Deb & Furio C. Rosati, 2002.
"Determinants Of Access To Physician Services In Italy: A Latent Class Probit Approach ,"
Departmental Working Papers
158, Tor Vergata University, CEIS.
[Downloadable!]
M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001.
"Outliers And Conditional Autoregressive Heteroscedasticity In Time Series ,"
Statistics and Econometrics Working Papers
ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
Cizek, Pavel, 2006.
"Efficient robust estimation of regression models ,"
Discussion Paper
8, Tilburg University, Center for Economic Research.
Pavel Cizek & Wolfgang Härdle, 2006.
"Robust Econometrics ,"
SFB 649 Discussion Papers
SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Fabio Trojani & Markus Leippold & Paolo Vanini, 2005.
"Learning and Asset Prices under Ambiguous Information ,"
University of St. Gallen Department of Economics working paper series 2005
2005-03, Department of Economics, University of St. Gallen.
[Downloadable!]
Other versions: L. Ingber & R.P. Mondescu, .
"Automated internet trading based on optimized physics models of markets ,"
Lester Ingber Papers
03ai, Lester Ingber.
[Downloadable!]
Access and
download statistics Did you know? About 1000 journals are listed on RePEc .
This page was last updated on 2009-11-12.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .