Appraisal of excess Kurtosis through outlier-modified GARCH-type models

DOI10.1080/03610918.2021.1887225OpenAlexW3138603722MaRDI QIDQ6171876

Emmanuel Alphonsus Akpan, Unnamed Author, Unnamed Author, Imoh Udo Moffat

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Appraisal_of_excess_Kurtosis_through_outlier-modified_GARCH-type_models/14213796

zbMATH Keywords

outlierstime seriesheteroscedasticityserial correlationvolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Time series forecasting using a hybrid ARIMA and neural network model
• The autocorrelation structure for the GARCH-M process
• Testing the adequacy of GARCH-type models in time series
• Robust estimates for GARCH models
• On robust testing for conditional heteroscedasticity in time series models
• The time-varying GARCH-in-mean model
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Wavelet-based detection of outliers in financial time series
• An empirical evaluation of fat-tailed distributions in modeling financial time series
• Prediction in ARMA Models with GARCH in Mean Effects
• A functional coefficient GARCH-M model
• An Alternative GARCH-in-Mean Model: Structure and Estimation
• Limit theory for a general class of GARCH models with just barely infinite variance
• Analysis of the performance of test statistics for detection of outliers (additive, innovative, transient, and level shift) in AR (1) processes
• Detecting outliers in GARCH(p,q) models
• On the Transmission of Memory in Garch‐in‐Mean Models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Realized Volatility and Long Memory: An Overview
• ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Analysis of economic time series: effects of extremal observations on testing heteroscedastic components
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• The Identification of Multiple Outliers in ARIMA Models
• MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
• An outlier-resistant test for heteroscedasticity in linear models
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
• Effects of outliers on the identification and estimation of GARCH models

This page was built for publication: Appraisal of excess Kurtosis through outlier-modified GARCH-type models