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The Gaussian quasi-maximum likelihood estimator of Multivariate GARCH models is shown to be very sensitive to outliers in the data. A class of robust M-estimators for MGARCH models is developed. To increase the robustness of the estimators, the use of volatility models with the property of...

We consider the affine equivariant sign covariance matrix (SCM) introduced by Visuri et al. (J. Statist. Plann. Inference 91 (2000) 557). The population SCM is shown to be proportional to the inverse of the regular covariance matrix. The eigenvectors and standardized eigenvalues of the...

Factor construction methods are widely used to summarize a large panel of variables by means of a relatively small number of representative factors. We propose a novel factor construction procedure that enjoys the properties of robustness to outliers and of sparsity; that is, having relatively...