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Outlier detection in GARCH models

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References

1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
2006Analysis of Financial Time Series2,348 cited
1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
1996Statistical aspects of ARCH and stochastic volatility749 cited
1999ARCH Models and Financial Applications417 cited
1996Analytic derivatives and the computation of GARCH estimates153 cited
1998High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility148 cited

Cited by

2008Multimodality in GARCH regression models38 cited
2009Shifts in Individual Parameters of a GARCH Model35 cited
2009Understanding volatility dynamics in the EU-ETS market: lessons from the future21 cited

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