Estimating and Forecasting GARCH Volatility in the Presence of Outiers
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- Laurent, Sébastien & Lecourt, Christelle & Palm, Franz C., 2016.
"Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach,"
Computational Statistics & Data Analysis,
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More about this item
KeywordsHeteroscedasticity; M-estimator; QML estimator; Robustness; Financial Markets;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-04 (All new papers)
- NEP-ECM-2008-11-04 (Econometrics)
- NEP-ETS-2008-11-04 (Econometric Time Series)
- NEP-FOR-2008-11-04 (Forecasting)
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