Outliers and GARCH models in financial data
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- Fiorentini, G. & Maravall, A., 1995. "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment," Papers 9509, Centro de Estudios Monetarios Y Financieros-.
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- Franses, Philip Hans & Ghijsels, Hendrik, 1999. "Additive outliers, GARCH and forecasting volatility," International Journal of Forecasting, Elsevier, vol. 15(1), pages 1-9, February.
- Tim Bollerslev, 1986.
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- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996.
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Econometric Institute Research Papers
EI 9659-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for ARCH in the Presence of Additive Outliers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 539-62, Sept.-Oct.
- Shinichi Sakata & Halbert White, 1998. "High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility," Econometrica, Econometric Society, vol. 66(3), pages 529-568, May.
- Balke, Nathan S & Fomby, Thomas B, 1994.
"Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series,"
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John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
- Balke, Nathan S. & Fomby, Thomas B., 1991. "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series," Working Papers 9101, Federal Reserve Bank of Dallas.
- Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
- Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
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