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Estimating and forecasting GARCH volatility in the presence of outliers
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2008
Persistent link: https://www.econbiz.de/10003871607
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Detecting level shifts in the presence of conditional heteroscedasticity
Carnero, M. Angeles (contributor); Peña, Daniel (contributor) - 2004 - [Elektronische Ressource], 1. ed.
Persistent link: https://www.econbiz.de/10002198779
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Spurious and hidden volatility
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2004 - [Elektronische Ressource], 1. ed.
Persistent link: https://www.econbiz.de/10002440961