Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
نویسندگان
چکیده
منابع مشابه
Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and the sensitivity of the estimates to outliers and extreme observations, are examined using daily data...
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ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2003
ISSN: 0960-3107,1466-4305
DOI: 10.1080/0960310022000029295