The paper proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This estimator is especially useful on specifications where errors have some degree of dependence over time (weak-GARCH) or when the conditional variance is misspecified. I illustrate...

Many financial and economic time series exhibit nonlinear patterns or relationships. However, most statistical methods for time series analysis are developed for mean-stationary processes that require transformation, such as differencing of the data. In this paper, we study a dynamic regression...