Fernandez, Maria Angeles Carnero; Pérez, Ana; Ortega, … - Departamento de Estadistica, Universidad Carlos III de … - 2014
The identification of asymmetric conditional heteroscedasticity is often based on samplecross-correlations between past and squared observations. In this paper we analyse theeffects of outliers on these cross-correlations and, consequently, on the identification ofasymmetric volatilities. We...