Outliers and misleading leverage effect in asymmetric GARCH-type models
M. Angeles Carnero/Ana Pérez
| Year of publication: |
2021
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|---|---|
| Authors: | Carnero, M. Angeles ; Pérez, Ana |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 1, p. 1-19
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| Subject: | AVGARCH | conditional heteroscedasticity | QMLE | robust estimators | TGARCH | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity | Robustes Verfahren | Robust statistics | Schätzung | Estimation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2018-0073 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012437834