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Activity Number:
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515
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Type:
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Contributed
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Date/Time:
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Wednesday, August 5, 2009 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305066 |
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Title:
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Application of Robust Estimation in O-GARCH Model
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Author(s):
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Lingyu Zheng and William Wei*+
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Companies:
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Temple University and Temple University
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Address:
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, , ,
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Keywords:
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multivariate GARCH ; M-estimation ; O-GARCH ; influence function
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Abstract:
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Consistent robust estimation of the linkage matrix in O-GARCH model is proposed. The asymptotic distribution is derived and hypothesis tests can be constructed to test the performance of estimators derived from the standard method using sample covariance matrix. Simulations studies show that the proposed estimating method enjoys great robust advantage when data are under contamination such as outliers and structural breaks.
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