CATALÁN, BEATRIZ; TRÍVEZ, F. JAVIER - In: Estudios de Economía Aplicada 24 (2006) Abril, pp. 531-543
Outliers, ALO) y de volatilidad (Additive Volatility Outliers, AVO), obteniendo las expresiones analíticas del incremento … Volatility Outliers (AVO), obtaining the analytical expressions of the relative increase in the absolute mean error that ALO and … of volatility from an ARCH Model. For it, we start by distinguishing between Additive Level Outliers (ALO) and Additive …