Do We Often Find ARCH Because Of Neglected Outliers?
Year of publication: |
1997-01-01
|
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Authors: | Franses, Ph.H.B.F. ; Dijk, D.J.C. van |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | GARCH | LM Test | Outliers | Robust Testing | Exchange Rates | Stock Market Indices |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 9706-/A |
Source: |
-
Do We Often Find ARCH Because Of Neglected Outliers?
Franses, Philip Hans, (1997)
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Short Patches of Outliers, ARCH and Volatility Modeling
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Short patches of outliers, ARCH and volatility modeling
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