Ané, Thierry; Ureche-Rangau, Loredana; Gambet, Jean-Benoît - In: Journal of International Financial Markets, … 18 (2008) 4, pp. 326-343
Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)-GARCH(1,1) model to...