Outliers and GARCH models in financial data
type: Item
instance of: scholarly article
title: Outliers and GARCH models in financial data
zbMATH Open document ID: 1254.91573
author: Amélie Charles
author: Olivier Darné
published in: Economics Letters
publication date: 2013-01-02T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6120841
zbMATH Keywords: additive outliers
zbMATH Keywords: innovational outliers
zbMATH Keywords: GARCH model
MaRDI profile type: Publication
full work available at URL: j.econlet.2004.07.019
OpenAlex ID: W1996480982
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Q4458441
cites work: Joint Estimation of Model Parameters and Outlier Effects in Time Series
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Outliers in GARCH processes
cites work: High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
DOI: 10.1016/J.ECONLET.2004.07.019
description: scientific article; zbMATH DE number 6120841