TY  - GEN 
AU  - Carnero, María Ángeles
AU  - Pérez Espartero, Ana
PY  - 2018
UR  - http://uvadoc.uva.es/handle/10324/37924
AB  - This paper illustrates how outliers can affect both the estimation and testing of leverage effect by focusing on the TGARCH model. Three estimation methods are compared through Monte Carlo experiments: Gaussian Quasi-Maximum Likelihood, Quasi-Maximum...
LA  - eng
KW  - Montecarlo, Método de
TI  - Outliers and misleading leverage effect in asymmetric GARCH-type models
DO  - 10.12842/WPAD-2018-01
ER  -