Outliers and GARCH models in financial data
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Publication:1927757
DOI10.1016/J.ECONLET.2004.07.019zbMath1254.91573OpenAlexW1996480982MaRDI QIDQ1927757
Publication date: 2 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2004.07.019
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
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