Search Results - subject:"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

Volatility Outliers (AVO), obtaining the analytical expressions of the relative increase in the absolute mean error that ALO and … Outliers, ALO) y de volatilidad (Additive Volatility Outliers, AVO), obteniendo las expresiones analíticas del incremento …

Persistent link: https://www.econbiz.de/10005075773

Detecting level shifts in ARMA-GARCH (1,1) Models

Trivez, F. Javier; Catalan, Beatriz - In: Journal of Applied Statistics 36 (2009) 6, pp. 679-697

The purpose of this article is to present a new method to detect level shifts in the context of conditional heteroscedastic models. First, we define precisely what type of outlier we are referring to, a concept that has been scarcely touched in the field of GARCH (1,1) models, and then we go on...

Persistent link: https://www.econbiz.de/10004966810