Ané, Thierry; Ureche-Langau, Loredana; Gambet, Jean-Benoît - Université Paris-Dauphine (Paris IX) - 2008
Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)–GARCH(1,1) model...