Outlier Detection in GARCH Models
Year of publication: |
2005-10-13
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Authors: | Doornik, Jurgen A. ; Ooms, Marius |
Institutions: | Tinbergen Institute |
Subject: | Dummy variable | Generalized Autoregressive Conditional Heteroskedasticity | GARCH-t | Outlier detection | Extreme value distribution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 05-092/4 |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General |
Source: |
-
Outlier Detection in GARCH Models
Doornik, Jurgen A., (2005)
-
Outlier detection in GARCH models
Doornik, Jurgen A., (2005)
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Outlier Detection in GARCH Models
Doornik, Jurgen A., (2005)
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Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
Boswijk, H. Peter, (1999)
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Long Memory and Level Shifts: Re-Analyzing Inflation Rates
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Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
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