|
EconStor >
Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/29561
|
| | |
| Title: | | The impacts of outliers on different estimators for GARCH processes: an empirical study  |
| Authors: | | Ardelean, Vlad |
| Issue Date: | | 2009 |
| Series/Report no.: | | IWQW discussion paper series 06/2009 |
| 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. |
| Subjects: | | GARCH Robust-Estimates M-Estimates |
| Document Type: | | Working Paper |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/29561
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|