Trivez, F. Javier; Catalan, Beatriz - In: Journal of Applied Statistics 36 (2009) 6, pp. 679-697
The purpose of this article is to present a new method to detect level shifts in the context of conditional heteroscedastic models. First, we define precisely what type of outlier we are referring to, a concept that has been scarcely touched in the field of GARCH (1,1) models, and then we go on...