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ArticleOutliers and GARCH models in financial data

Amélie Charles2004

Article2004

Outliers and GARCH models in financial data

Amélie Charles · Olivier Darné

90 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Stock Market Forecasting Methods Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2000Nonlinear Time Series Models in Empirical Finance 2002The Message in Daily Exchange Rates 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale 1999Additive outliers, GARCH and forecasting volatility 1994Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series 1999Testing for ARCH in the presence of additive outliers

Cited by

2013Volatility persistence in crude oil markets 2017Forecasting crude-oil market volatility: Further evidence with jumps 2017Pattern graph tracking-based stock price prediction using big data 2011Estimating GARCH volatility in the presence of outliers 2014Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013 2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach

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Year2004

Typearticle

Published2004-12-12

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations90

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2004.07.019

openalex_workW1996480982

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2014Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach

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