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Citations for "Additive outliers, GARCH and forecasting volatility"

by Franses, Philip Hans & Ghijsels, Hendrik

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  1. Loredana Ureche-Rangau & Franck Speeg, 2011. "A simple method for variance shift detection at unknown time points," Economics Bulletin, AccessEcon, vol. 31(3), pages 2204-2218.
  2. F. Javier Trivez & Beatriz Catalan, 2009. "Detecting level shifts in ARMA-GARCH (1,1) Models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(6), pages 679-697.
  3. BEINE, Michel & LAURENT, Sébastien, . "Central bank interventions and jumps in double long memory models of daily exchange rates," CORE Discussion Papers RP -1706, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working papers 2008-48, University of Connecticut, Department of Economics.
  5. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(1), pages 93-104.
  7. Preminger, Arie & Franck, Raphael, 2007. "Forecasting exchange rates: A robust regression approach," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 71-84.
  8. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
  9. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
  10. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, Elsevier, vol. 43(C), pages 131-154.
  11. Philip Hans Franses & Dick van Dijk & Andre Lucas, 2004. "Short patches of outliers, ARCH and volatility modelling," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 221-231.
  12. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working papers 2012-11, University of Connecticut, Department of Economics.
  13. Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
  14. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  15. Watkins, Clinton & McAleer, Michael, 2005. "Related commodity markets and conditional correlations," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 68(5), pages 567-579.
  16. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
  17. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, Elsevier, vol. 21(3), pages 312-324, August.
  18. Francesco GUIDI, 2010. "Modelling And Forecasting Volatility Of East Asian Newly Industrialized Countries And Japan Stock Markets With Non-Linear Models," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(1), pages 27-43, June.
  19. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(3), pages 432-448.
  20. repec:hal:journl:halshs-00320378 is not listed on IDEAS
  21. Ané, Thierry & Ureche-Rangau, Loredana & Gambet, Jean-Benoît & Bouverot, Julien, 2008. "Robust outlier detection for Asia-Pacific stock index returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 326-343, October.
  22. Thavaneswaran, A. & Appadoo, S.S. & Peiris, S., 2005. "Forecasting volatility," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 1-10, November.
  23. Chan, W.S. & Wong, C.S. & Chung, A.H.L., 2009. "Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(9), pages 2779-2786.
  24. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
  25. Mohamed Ali Houfi & Ghassen El Montasser, 2010. "Effets des points aberrants sur les tests de normalité et de linéarité. Applications à la bourse de Tokyo," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(36), pages 15-51, June.
  26. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws042007, Universidad Carlos III, Departamento de Estadística y Econometría.
  27. Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00320378, HAL.
  28. Franses, Ph.H.B.F. & van Dijk, D.J.C., 1999. "Outlier detection in the GARCH (1,1) model," Econometric Institute Research Papers EI 9926-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  29. Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
  30. Bali, Rakesh & Guirguis, Hany, 2007. "Extreme observations and non-normality in ARCH and GARCH," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 332-346.
  31. Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
  32. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(2), pages 244-257.
  33. Aurea Grané & Helena Veiga, 2009. "Wavelet-based detection of outliers in volatility models," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws090403, Universidad Carlos III, Departamento de Estadística y Econometría.
  34. Aurea Grané & Helena Veiga, 2010. "Outliers in Garch models and the estimation of risk measures," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws100502, Universidad Carlos III, Departamento de Estadística y Econometría.
  35. Beatriz Catalan & F. Javier Trivez, 2007. "Forecasting volatility in GARCH models with additive outliers," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(6), pages 591-596.
  36. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei.
  37. Ewa Ratuszny, 2013. "Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(1), pages 35-63, March.
  38. Boudt, Kris & Croux, Christophe, 2010. "Robust M-estimation of multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2459-2469, November.
  39. Guermat, Cherif & Harris, Richard D. F., 2002. "Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns," International Journal of Forecasting, Elsevier, Elsevier, vol. 18(3), pages 409-419.
  40. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 443-473.
  41. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.