Robust M-Estimation of Multivariate GARCH models

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2007 Belgium, Netherlands English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Kris Boudt; Christophe Croux;

doi: 10.2139/ssrn.1086019 , 10.1016/j.csda.2009.11.007

handle: 1871.1/3e9142f8-181e-4ca3-81fb-2efa3f186bad

Robust M-Estimation of Multivariate GARCH models

- Summary
- Subjects
- Metrics

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Countries

Belgium, Netherlands

Related Organizations

Ghent University
Belgium
KU Leuven
Belgium
Vrije Universiteit Brussel
Belgium
Vrije Universiteit Amsterdam
Netherlands
Katholieke Universiteit Leuven
Belgium

Keywords

Economic time series analysis, GARCH models, robust methods, M-estimators, Multivariate time series, Applications of statistics to economics

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	28
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average