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Robust time series models with trend and seasonal components

Caivano, Michele; Harvey, Andrew C.; Luati, Alessandra - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120

We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...

Persistent link: https://www.econbiz.de/10011458780

On the estimation of integrated volatility with jumps and microstructure noise

Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467

Persistent link: https://www.econbiz.de/10010488463

Approximately median-unbiased estimation of autoregressive models

Andrews, Donald W. K. - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 2, pp. 187-204

Persistent link: https://www.econbiz.de/10001167115

On estimation of hurst parameter under noisy observations

Liu, Guangying; Jing, Bingyi - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 483-492

Persistent link: https://www.econbiz.de/10012249184

Estimation of an asymmetric stochastic volatility model for asset returns

Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434

Persistent link: https://www.econbiz.de/10001209347