Preminger, Arie (contributor); Franck, Raphael (contributor) - 2005
studies, notably by Baillie and McMahon (1989), Hsieh (1989) and
Hong and Lee (2003), have shown that changes of exchange ….
The existence of outliers is also corroborated by numerous studies (see e.g.
Hsieh (1989), Baillie and Bollerslev (1989 … misspecification or inadequate modeling. Their studies suggest that outliers can
account for some nonlinearity detected in the data …