This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...

In this paper we analyze the robustness properties of GMM estimators and GMM based tests, in view of an application to the robust estimation and comparison of some well known one factor models of the term structure of interest rates. We show that GMM estimators and tests are robust if and only...