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Estimating GARCH volatility in the presence of outliers

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorCarnero, María Ángeles
dc.contributor.authorPeña, Daniel
dc.contributor.authorRuiz Ortega, Esther
dc.date.accessioned2012-10-23T16:19:37Z
dc.date.available2012-10-23T16:19:37Z
dc.date.issued2012
dc.description.abstractGARCH volatilities depend on the unconditional variance, which is a non-linear function of the parameters. Consequently, they can have larger biases than estimated parameters. Using robust methods to estimate both parameters and volatilities is shown to outperform Maximum Likelihood procedures.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationEconomics Letters, 2012, v. 114, n. 1, pp. 86-90
dc.identifier.doi10.1016/j.econlet.2011.09.023
dc.identifier.issn0165-1765
dc.identifier.publicationfirstpage86
dc.identifier.publicationissue1
dc.identifier.publicationlastpage90
dc.identifier.publicationtitleEconomics Letters
dc.identifier.publicationvolume114
dc.identifier.urihttps://hdl.handle.net/10016/15744
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.econlet.2011.09.023
dc.rights© Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.subject.jelC22
dc.subject.otherFinancial markets
dc.subject.otherHeteroscedasticity
dc.subject.otherQML estimator
dc.subject.otherRobustness
dc.titleEstimating GARCH volatility in the presence of outliers
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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