Detecting outliers in multivariate volatility models: a wavelet procedure

DOI10.2436/20.8080.02.89MaRDI QIDQ5212099zbMATH OpenFDO

Authors Aurea Grané, Belen Martin-Barragan, Helena Veiga

Publication date 24 January 2020

Full work available at URL https://doi.org/10.2436/20.8080.02.89

zbMATH Keywords

correlationsmultivariate GARCH modelsoutlierswavelets

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Recommendations

• Wavelet-based detection of outliers in financial time series
• On outlier detection in multivariate time series
• Outliers in multivariate time series
• scientific article; zbMATH DE number 2060189
• Effects of outliers on the identification and estimation of GARCH models

Cites work

• Effects of outliers on the identification and estimation of GARCH models
• scientific article; zbMATH DE number 2109363 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis
• Outlier Detection in Multivariate Time Series by Projection Pursuit
• Random projections and goodness-of-fit tests in infinite-dimensional spaces
• The random projection method in goodness of fit for functional data
• Wavelet-based detection of outliers in financial time series

Cited in

(6)

• Wavelet transform based multifractal formalism in outlier detection and localisation for financial time series
• Detection of patches of outliers in stochastic volatility processes
• Wavelet-based detection of outliers in financial time series
• Detecting outliers in GARCH(p,q) models
• Kurtosis maximization for outlier detection in GARCH models
• A mixture‐distribution factor model for multivariate outliers

This page was built for publication: Detecting outliers in multivariate volatility models: a wavelet procedure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5212099)