scientific article; zbMATH DE number 2060189

zbMATH Open1034.62077MaRDI QIDQ4458419FDOQ4458419

Authors: M. Angeles Carnero, Daniel Peña, Esther Ruiz 

Publication date: 17 March 2004

Title of this publication is not available (Why is that?)

Recommendations

• Effects of outliers on the identification and estimation of GARCH models
• Effects of level shifts and temporary changes on the estimation of GARCH models
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zbMATH Keywords

asymmetryGARCHkurtosisstochastic volatilityEGARCHrobust proceduresCHARMAautocorrelation of squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (15)

• Detecting outliers in multivariate volatility models: a wavelet procedure
• Kurtosis maximization for outlier detection in GARCH models
• Detecting outliers in GARCH\((p,q)\) models
• Robust estimates for GARCH models
• The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series
• Correcting outliers in GARCH models: a weighted forward approach
• Bootstrap order determination for ARMA models: a comparison between different model selection criteria
• Detecting level shifts in ARMA-GARCH (1,1) Models
• Analysis of economic time series: effects of extremal observations on testing heteroscedastic components
• The effects of outliers on two nonlinearity tests
• Specification error caused by level shifts and temporary changes in ARMA–GARCH models
• Effects of level shifts and temporary changes on the estimation of GARCH models
• Outliers and GARCH models in financial data
• Effects of outliers on the identification and estimation of GARCH models
• Title not available (Why is that?)

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