Gregory, Allan W.; Reeves, Jonathan J. - In: Journal of Financial Econometrics 8 (2010) 4, pp. 547-549
In this paper, we show the effects that outliers have on estimation and inference for autoregressive conditional heteroskedasticity (ARCH) models. We propose for a wide class of ARCH models commonly estimated, an empirically tractable solution to this problem by replacing outliers with their...