Effects of outliers on the identification and estimation of GARCH models
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- scientific article; zbMATH DE number 2060189
- Effects of level shifts and temporary changes on the estimation of GARCH models
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- Outliers and GARCH models in financial data
- The effects of outliers on two nonlinearity tests
Cites work
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- A Powerful Portmanteau Test of Lack of Fit for Time Series
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- Generalized autoregressive conditional heteroscedasticity
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
- Outliers in GARCH processes
- Robust estimates for arch processes
Cited in
(26)- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Portfolio management with targeted constant market volatility
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Outliers and GARCH models in financial data
- Correcting outliers in GARCH models: a weighted forward approach
- Wavelet-based detection of outliers in financial time series
- Outliers and misleading leverage effect in asymmetric GARCH-type models
- Robust modeling of GARCH model based on weighted function and empirical analysis
- Detecting outliers in GARCH(p,q) models
- Effects of level shifts and temporary changes on the estimation of GARCH models
- scientific article; zbMATH DE number 2060189 (Why is no real title available?)
- Analysis of economic time series: effects of extremal observations on testing heteroscedastic components
- The effects of outliers on two nonlinearity tests
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
- Robust bootstrap forecast densities for GARCH returns and volatilities
- M-estimates for the multiplicative error model
- Stepwise local influence in generalized autoregressive conditional heteroskedasticity models
- Detecting outliers in multivariate volatility models: a wavelet procedure
- A robust closed-form estimator for the GARCH(1,1) model
- Modeling the effects of outliers on the estimation of linear stochastic time series model
- Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
- The computational efficiency of outlier estimates for different generating process
- The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
- Appraisal of excess Kurtosis through outlier-modified GARCH-type models
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
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