M-quantile estimation for GARCH models
Patrick F. Patrocinio, Valderio A. Reisen, Pascal Bondon, Edson Z. Monte, Ian M. Danilevicz
| Year of publication: |
2024
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|---|---|
| Authors: | Patrocinio, Patrick F. ; Reisen, Valdério Anselmo ; Bondon, Pascal ; Monte, Edson Zambon ; Danilevicz, Ian M. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 6, p. 2175-2192
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| Subject: | Abrupt observations | GARCH | M-estimation | Outliers | Quantile | Robustness | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10398-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014636726