Outlier detection in the GARCH (1,1) model
Year of publication: |
1999-07-05
|
---|---|
Authors: | Franses, Ph.H.B.F. ; Dijk, D.J.C. van |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | autoregressive conditional heteroskedasticity | outliers | forecasting volatility |
Extent: | application/pdf |
---|---|
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 9926-/A |
Source: |
-
Outlier detection in the GARCH (1,1) model
Franses, Philip Hans, (1999)
-
The information content in a volatility index for Spain
Gonzalez-Perez, Maria T., (2011)
-
Forecasting stochastic volatility characteristics for the financial fossil oil market densities
Solibakke, Per Bjarte, (2021)
- More ...
-
Cointegration in a historical perspective
Franses, Ph.H.B.F., (2009)
-
A nonlinear long memory model for US unemployment
Dijk, D.J.C. van, (2000)
-
Bayesian Model Averaging in the Presence of Structural Breaks
Ravazzolo, F., (2006)
- More ...