Arbeitspapier
The impacts of outliers on different estimators for GARCH processes: an empirical study
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.
- Language
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Englisch
- Bibliographic citation
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Series: IWQW Discussion Papers ; No. 06/2009
- Classification
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Wirtschaft
- Subject
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GARCH
Robust-Estimates
M-Estimates
ARCH-Modell
Maximum-Likelihood-Methode
Robustes Verfahren
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Ardelean, Vlad
- Event
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Veröffentlichung
- (who)
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Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
- (where)
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Nürnberg
- (when)
-
2009
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ardelean, Vlad
- Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
Time of origin
- 2009
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