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Citations for "Additive outliers, GARCH and forecasting volatility"

by Franses, Philip Hans & Ghijsels, Hendrik

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  1. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
  2. Niaz Bashiri Behmiri & Matteo Manera, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Working Papers 2015.77, Fondazione Eni Enrico Mattei.
  3. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  4. WenShwo Fang & Stephen M. Miller, 2008. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers 2008-47, University of Connecticut, Department of Economics.
  5. Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
  6. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working papers 2012-11, University of Connecticut, Department of Economics.
  7. Ruiz, Esther & Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
  9. Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00320378, HAL.
  10. Francesco GUIDI, 2010. "Modelling And Forecasting Volatility Of East Asian Newly Industrialized Countries And Japan Stock Markets With Non-Linear Models," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(1), pages 27-43, June.
  11. YAMAMOTO, Yohei, 2015. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion Papers 2015-05, Graduate School of Economics, Hitotsubashi University.
  12. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  13. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working papers 2008-48, University of Connecticut, Department of Economics.
  14. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  15. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
  16. Ewa Ratuszny, 2013. "Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(1), pages 35-63, March.
  17. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  18. Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.
  19. Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
  20. Veiga, Helena & Grané, Aurea, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
  21. Veiga, Helena & Grané, Aurea, 2009. "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS ws090403, Universidad Carlos III de Madrid. Departamento de Estadística.
  22. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
  23. repec:hit:hiasdp:2015-04 is not listed on IDEAS
  24. Chan, W.S. & Wong, C.S. & Chung, A.H.L., 2009. "Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2779-2786.
  25. F. Javier Trivez & Beatriz Catalan, 2009. "Detecting level shifts in ARMA-GARCH (1,1) Models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(6), pages 679-697.
  26. Watkins, Clinton & McAleer, Michael, 2005. "Related commodity markets and conditional correlations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 567-579.
  27. repec:hal:journl:halshs-00320378 is not listed on IDEAS
  28. Franses, Ph.H.B.F. & van Dijk, D.J.C., 1999. "Outlier detection in the GARCH (1,1) model," Econometric Institute Research Papers EI 9926-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  29. PREMINGER, Arie & FRANCK, Raphael, . "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers RP 1917, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  30. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
  31. Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2004. "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS ws042007, Universidad Carlos III de Madrid. Departamento de Estadística.
  32. Guermat, Cherif & Harris, Richard D. F., 2002. "Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns," International Journal of Forecasting, Elsevier, vol. 18(3), pages 409-419.
  33. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
  34. Boudt, Kris & Croux, Christophe, 2010. "Robust M-estimation of multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2459-2469, November.
  35. Thavaneswaran, A. & Appadoo, S.S. & Peiris, S., 2005. "Forecasting volatility," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 1-10, November.
  36. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
  37. Loredana Ureche-Rangau & Franck Speeg, 2011. "A simple method for variance shift detection at unknown time points," Economics Bulletin, AccessEcon, vol. 31(3), pages 2204-2218.
  38. Beatriz Catalan & F. Javier Trivez, 2007. "Forecasting volatility in GARCH models with additive outliers," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 591-596.
  39. Ané, Thierry & Ureche-Rangau, Loredana & Gambet, Jean-Benoît & Bouverot, Julien, 2008. "Robust outlier detection for Asia-Pacific stock index returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 326-343, October.
  40. Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
  41. Bali, Rakesh & Guirguis, Hany, 2007. "Extreme observations and non-normality in ARCH and GARCH," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 332-346.
  42. Mohamed Ali Houfi & Ghassen El Montasser, 2010. "Effets des points aberrants sur les tests de normalité et de linéarité. Applications à la bourse de Tokyo," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(36), pages 15-51, June.
  43. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
  44. Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
  45. 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.
  46. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei.
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