Outlier Detection in GARCH Models
Year of publication: |
2005
|
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Authors: | Doornik, Jurgen A. ; Ooms, Marius |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Dummy variable | Generalized Autoregressive Conditional Heteroskedasticity | GARCH-t | Outlier detection | Extreme value distribution |
Series: | Tinbergen Institute Discussion Paper ; 05-092/4 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 837181976 [GVK] hdl:10419/86376 [Handle] RePEc:dgr:uvatin:20050092 [RePEc] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General |
Source: |
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Outlier detection in GARCH models
Doornik, Jurgen A., (2005)
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Outlier Detection in GARCH Models
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Outlier Detection in GARCH Models
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