Robust M-estimation of multivariate GARCH models

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2459-2469

  Boudt, Kris ^a,b   Croux, Christophe ^a  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b Lessius University College   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

GAUSSIANS; LOSS FUNCTIONS; M-ESTIMATION; M-ESTIMATORS; MONTE CARLO STUDY; MULTIVARIATE GARCH; QUASI-MAXIMUM LIKELIHOOD ESTIMATORS; ROBUSTNESS PROPERTIES; STOCK RETURNS;

DATA FLOW ANALYSIS; MAXIMUM LIKELIHOOD ESTIMATION;

ESTIMATION;

EID: 77955278346     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.11.007     Document Type: Article

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