Estimating GARCH volatility in the presence of outliers

Economics Letters

Volumn 114, Issue 1, 2012, Pages 86-90

  Carnero, M Angeles ^a   Peña, Daniel ^b   Ruiz, Esther ^b  

^a UNIVERSITY OF ALICANTE   (Spain)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Financial markets; Heteroscedasticity; QML estimator; Robustness

Indexed keywords

EID: 80054864207     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2011.09.023     Document Type: Article

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