Search Results - subject:"Additive Volatility Outliers"

Effects of the additive Outliers in the forecasting of the conditional variance of an Arch model/Efectos de los Outliers aditivos en la predicción de la varianza condicional de un modelo Arch.

CATALÁN, BEATRIZ; TRÍVEZ, F. JAVIER - In: Estudios de Economía Aplicada 24 (2006) Abril, pp. 531-543

Outliers, ALO) y de volatilidad (Additive Volatility Outliers, AVO), obteniendo las expresiones analíticas del incremento … Volatility Outliers (AVO), obtaining the analytical expressions of the relative increase in the absolute mean error that ALO and … of volatility from an ARCH Model. For it, we start by distinguishing between Additive Level Outliers (ALO) and Additive …

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