Outliers in multivariate Garch models
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References listed on IDEAS
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- Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
More about this item
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-22 (All new papers)
- NEP-ECM-2014-03-22 (Econometrics)
- NEP-ETS-2014-03-22 (Econometric Time Series)
- NEP-RMG-2014-03-22 (Risk Management)
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