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Robust modelling of DTARCH models


  • Yer Van Hui
  • Jiancheng Jiang


-norm fit is constructed to test the model adequacy. This approach captures various nonlinear phenomena and stylized facts with desirable robustness. Simulations show that the L_1-estimators are robust against innovation distributions and accurate for a moderate sample size, and the proposed test is not only robust against innovation distributions but also powerful in discriminating the delay parameters and ARCH models. It is noted that the quasi-likelihood modelling approach used in ARCH models is inappropriate to DTARCH models in the presence of outliers and heavy tail innovations. Copyright 2005 Royal Economic Society

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  • Yer Van Hui & Jiancheng Jiang, 2005. "Robust modelling of DTARCH models," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 143-158, July.
  • Handle: RePEc:ect:emjrnl:v:8:y:2005:i:2:p:143-158

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    References listed on IDEAS

    1. Karim M. Abadir & Jan R. Magnus, 2002. "Notation in econometrics: a proposal for a standard," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 76-90, June.
    2. Harvey, A. C. & Phillips, G. D. A., 1974. "A comparison of the power of some tests for heteroskedasticity in the general linear model," Journal of Econometrics, Elsevier, vol. 2(4), pages 307-316, December.
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    1. repec:eee:phsmap:v:486:y:2017:i:c:p:772-781 is not listed on IDEAS
    2. Jiang, Xuejun & Li, Jingzhi & Xia, Tian & Yan, Wanfeng, 2016. "Robust and efficient estimation with weighted composite quantile regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 413-423.

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