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Outliers and GARCH models in financial data

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References

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2000Nonlinear Time Series Models in Empirical Finance1,111 cited
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1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
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2011Estimating GARCH volatility in the presence of outliers77 cited
2014Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–201374 cited
2014

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

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2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach69 cited

2006Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization53 cited

2012Analysing the performance of nonlisted real estate funds: a panel data analysis50 cited

2008Modeling the volatility of real GDP growth: The case of Japan revisited45 cited

2008Forecasting volatility with outliers in GARCH models43 cited

2022Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies35 cited

2017Robust bootstrap forecast densities for GARCH returns and volatilities31 cited

2015Robust estimation and inference for heavy tailed GARCH30 cited