Assessing the bias of maximum likelihood estimates of contaminated GARCH models

Journal of Statistical Computation and Simulation

Volumn 67, Issue 4, 2000, Pages 359-376

  Mendes, Beatriz Vaz De Melo ^a,b  

^a FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^b NONE   (Brazil)

Author keywords

GARCH models; Monte Carlo simulations; Robust estimation

Indexed keywords

EID: 0034393297     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650008812051     Document Type: Article

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