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The Robust Estimation Method for Analyzing the Financial Time Series Data
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 Title & Authors
The Robust Estimation Method for Analyzing the Financial Time Series Data
Kim, S.;
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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.
Robust estimators;GARCH model;stock indexes;
 Cited by
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