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Grané, Aurea; Martín-Barragán, Belén; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2014

fitting well known multivariate GARCH models and by proposing a general detection algorithm based on wavelets that can be …

Persistent link: https://www.econbiz.de/10010861874

Correlations between oil and stock markets : a wavelet-based approach

Martín-Barragán, Belén; Ramos, Sofía B.; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2013

In a global economy, shocks occurring in one market can spill over to other markets. This paper investigates the impact of oil shocks and stock markets crashes on correlations between stock and oil markets. We test changes in correlations at different scales with non-overlapping confidence...

Persistent link: https://www.econbiz.de/10010617570

Outliers in Garch models and the estimation of risk measures

Grané, Aurea; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2010

proposal of Grané and Veiga (2010), a detection procedure based on wavelets with hard- or soft-thresholding filtering, and the … on wavelets with hard-thresholding filtering gathers a very good performance in attenuating the effects of outliers and …

Persistent link: https://www.econbiz.de/10008625889

Wavelet-based detection of outliers in volatility models

Grané, Aurea; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2009

on these issues and proposes a general detection and correction method based on wavelets that can be applied to a large …

Persistent link: https://www.econbiz.de/10005111011