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ArticleEstimating GARCH volatility in the presence of outliers

M. Angeles Carnero2011

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Estimating GARCH volatility in the presence of outliers

M. Angeles Carnero · Daniel Peña · Esther Ruiz

77 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Advanced Statistical Methods and Models

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References

1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2003The Impact of Jumps in Volatility and Returns 2002The Message in Daily Exchange Rates 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale 1999Additive outliers, GARCH and forecasting volatility 2003Least absolute deviations estimation for ARCH and GARCH models 1999Testing for ARCH in the presence of additive outliers 1998High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility

Cited by

2014Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013 2014Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach 2012Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities 2022A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies

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Year2011

Typearticle

Published2011-10-03

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations77

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2011.09.023

openalex_workW2013249241

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

2018The accuracy of asymmetric GARCH model estimation

2017Robust bootstrap forecast densities for GARCH returns and volatilities