Artículo

Muler, N.; Yohai, V.J. "Robust estimates for GARCH models" (2008) Journal of Statistical Planning and Inference. 138(10):2918-2940
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Abstract:

In this paper we present two robust estimates for GARCH models. The first is defined by the minimization of a conveniently modified likelihood and the second is similarly defined, but includes an additional mechanism for restricting the propagation of the effect of one outlier on the next estimated conditional variances. We study the asymptotic properties of our estimates proving consistency and asymptotic normality. A Monte Carlo study shows that the proposed estimates compare favorably with respect to other robust estimates. Moreover, we consider some real examples with financial data that illustrate the behavior of these estimates. © 2007 Elsevier B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Robust estimates for GARCH models
Autor:Muler, N.; Yohai, V.J.
Filiación:Departamento de Matemáticas y Estadística, Universidad Torcuato Di Tella, Miñones 2177, 1428 Buenos Aires, Argentina
Universidad de Buenos Aires, CONICET, Argentina
Palabras clave:GARCH models; M-estimates; Outliers; Robust estimation
Año:2008
Volumen:138
Número:10
Página de inicio:2918
Página de fin:2940
DOI: http://dx.doi.org/10.1016/j.jspi.2007.11.003
Título revista:Journal of Statistical Planning and Inference
Título revista abreviado:J. Stat. Plann. Inference
ISSN:03783758
CODEN:JSPID
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03783758_v138_n10_p2918_Muler

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Citas:

---------- APA ----------
Muler, N. & Yohai, V.J. (2008) . Robust estimates for GARCH models. Journal of Statistical Planning and Inference, 138(10), 2918-2940.
http://dx.doi.org/10.1016/j.jspi.2007.11.003
---------- CHICAGO ----------
Muler, N., Yohai, V.J. "Robust estimates for GARCH models" . Journal of Statistical Planning and Inference 138, no. 10 (2008) : 2918-2940.
http://dx.doi.org/10.1016/j.jspi.2007.11.003
---------- MLA ----------
Muler, N., Yohai, V.J. "Robust estimates for GARCH models" . Journal of Statistical Planning and Inference, vol. 138, no. 10, 2008, pp. 2918-2940.
http://dx.doi.org/10.1016/j.jspi.2007.11.003
---------- VANCOUVER ----------
Muler, N., Yohai, V.J. Robust estimates for GARCH models. J. Stat. Plann. Inference. 2008;138(10):2918-2940.
http://dx.doi.org/10.1016/j.jspi.2007.11.003