Identification of asymmetric conditional heteroscedasticity in the presence of outliers
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- Ruiz Ortega, Esther & Carnero Fernández, María Ángeles & Pérez, Ana, 2014. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS ws141912, Universidad Carlos III de Madrid. Departamento de Estadística.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Working Papers. Serie AD 2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
More about this item
KeywordsCross-correlations; Leverage effect; Robust correlations; EGARCH;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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