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Modeling Outliers and Extreme Observations for ARMA-GARCH Processes


  • Peter Verhoeven

    (Curtin University of Technology)


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  • Peter Verhoeven, 2000. "Modeling Outliers and Extreme Observations for ARMA-GARCH Processes," Econometric Society World Congress 2000 Contributed Papers 1922, Econometric Society.
  • Handle: RePEc:ecm:wc2000:1922

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    Cited by:

    1. 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.
    2. 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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