Pages that link to "Item:Q5430496"

The following pages link to Effects of outliers on the identification and estimation of GARCH models (Q5430496):

Displaying 15 items.

• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity (Q961418) (← links)
• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615) (← links)
• Portfolio management with targeted constant market volatility (Q1622522) (← links)
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach (Q1659128) (← links)
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
• Correcting outliers in GARCH models: a weighted forward approach (Q2338226) (← links)
• Wavelet-based detection of outliers in financial time series (Q2445711) (← links)
• Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
• Effects of level shifts and temporary changes on the estimation of GARCH models (Q3589968) (← links)
• Robust bootstrap forecast densities for GARCH returns and volatilities (Q5106994) (← links)
• M-estimates for the multiplicative error model (Q5107692) (← links)
• (Q5212099) (← links)
• A robust closed-form estimator for the GARCH(1,1) model (Q5222426) (← links)
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series (Q5237523) (← links)
• The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets (Q6148782) (← links)