Effects of outliers on the identification and estimation of GARCH models
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DOI: 10.1111/j.1467-9892.2006.00519.x
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References listed on IDEAS
- Doornik, Jurgen A. & Ooms, Marius, 2008.
"Multimodality in GARCH regression models,"
International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
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