Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2004
This paper analyses the effects caused by outliers on the identification and estimation of GARCH models. We show that outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects. First, we derive the asymptotic biases caused by outliers on the...