Asymptotic theory for multivariate GARCH processes
Journal of Multivariate Analysis
Multivariate mixed normal conditional heteroskedasticity
Computational Statistics & Data Analysis
Asymmetric multivariate normal mixture GARCH
Computational Statistics & Data Analysis
A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
Computational Statistics & Data Analysis
Robust PCA for skewed data and its outlier map
Computational Statistics & Data Analysis
Portfolio Selection with Robust Estimation
Operations Research
Robust estimation for vector autoregressive models
Computational Statistics & Data Analysis
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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 bounded innovation propagation is recommended. The Monte Carlo study and an empirical application to stock returns document the good robustness properties of the M-estimator with a fat-tailed Student t loss function.