Outliers in GARCH processes

MaRDI QIDQ2906620zbMATH OpenFDO

Authors Luiz Koodi Hotta, Ruey S. Tsay

Publication date 5 September 2012

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited in

(17)

• Outliers and GARCH models in financial data
• Bootstrap prediction in univariate volatility models with leverage effect
• Correcting outliers in GARCH models: a weighted forward approach
• Wavelet-based detection of outliers in financial time series
• Influence diagnostics for multivariate GARCH processes
• Specification error caused by level shifts and temporary changes in ARMA–GARCH models
• GMC/GEL estimation of stochastic volatility models
• Slope influence diagnostics in conditional heteroscedastic time series models
• Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
• Robust bootstrap forecast densities for GARCH returns and volatilities
• An ABC approach for CAViaR models with asymmetric kernels
• A robust closed-form estimator for the GARCH(1,1) model
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
• Effects of outliers on the identification and estimation of GARCH models
• Local influence analysis for Poisson autoregression with an application to stock transaction data
• Diagnostic analytics for the mixed Poisson INGARCH model with applications
• Robust estimation of Markov-switching GARCH models

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