TY  - JOUR 
AU  - Carnero, María Ángeles
AU  - Pérez Espartero, Ana
PY  - 2019
SN  - 1558-3708
UR  - http://uvadoc.uva.es/handle/10324/40552
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
PB  - Springer
KW  - GARCH-type models
KW  - Modelos tipo GARCH
TI  - Outliers and misleading leverage effect in asymmetric GARCH-type models
DO  - 10.1515/snde-2018-0073
ER  -