Identification of asymmetric conditional heteroscedasticity in the presence of outliers
Year of publication: |
2014-07
|
---|---|
Authors: | Fernandez, Maria Angeles Carnero ; Pérez, Ana ; Ortega, Esther Ruiz |
Institutions: | Departamento de Estadistica, Universidad Carlos III de Madrid |
Subject: | Cross-correlations | Leverage effect | Robust correlations | EGARCH |
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