@techreport{Ardelean2009impacts,
abstract = {The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient. Even though the MLE is sensitive to outliers, which can occur in time series. In order to abate the influence of outliers, robust estimators are introduced. Afterwards an Monte Carlo study compares the introduced estimators.},
address = {Erlangen},
author = {Vlad Ardelean},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; GARCH; Robust-Estimates; M-Estimates; ARCH-Modell; Maximum-Likelihood-Methode; Robustes Verfahren; Theorie},
language = {eng},
number = {06/2009},
publisher = {Univ., Inst. f\"{u}r Wirtschaftspolitik und Quantitative Wirtschaftsforschung},
title = {The impacts of outliers on different estimators for GARCH processes: an empirical study},
type = {IWQW discussion paper series},
url = {http://hdl.handle.net/10419/29561},
year = {2009}
}
