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http://dx.doi.org/10.5351/KJAS.2008.21.4.561

The Robust Estimation Method for Analyzing the Financial Time Series Data  

Kim, S. (Dept. of Statistics, Chung-Ang University)
Publication Information
The Korean Journal of Applied Statistics / v.21, no.4, 2008 , pp. 561-569 More about this Journal
Abstract
In this paper, we propose the double robust estimators which are the solutions of the double robust estimating equations to analyze and treat the outliers in the stock market data in Korea including the IMF period. The feasibility study shows that the proposed estimators work quitely better than the least squares estimators and the conventional robust estimators.
Keywords
Robust estimators; GARCH model; stock indexes;
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Times Cited By KSCI : 1  (Citation Analysis)
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