Modeling Outliers and Extreme Observations for ARMA-GARCH Processes
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- Martín-Barragán, Belén & Grané, Aurea & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
- Amélie Charles, 2010. "Does the day-of-the-week effect on volatility improve the volatility forecasts?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(3), pages 257-262, February.
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