Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach

DOI10.1016/j.csda.2014.05.015zbMath1466.62126OpenAlexW2095757647MaRDI QIDQ1659128

Franz C. Palm, Christelle Lecourt, Sébastien Laurent

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.05.015

zbMATH Keywords

jumpsGARCHforecastingtest

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Statistical tests of distributional scaling properties for financial return series ⋮ Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach ⋮ Cost-sensitive estimation of ARMA models for financial asset return data ⋮ Virtual historical simulation for estimating the conditional VaR of large portfolios ⋮ Testing for misspecification in the short-run component of GARCH-type models ⋮ Quasi score-driven models ⋮ Outliers and misleading leverage effect in asymmetric GARCH-type models ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES ⋮ Correcting outliers in GARCH models: a weighted forward approach

Uses Software

• Ox

Cites Work

• The Model Confidence Set
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• A Test for Normality of Observations and Regression Residuals
• Effects of outliers on the identification and estimation of GARCH models
• Modeling and Forecasting Realized Volatility
• Robust Statistics

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