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Estimating GARCH volatility in the presence of outliers

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References

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2014Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–201374 cited
2014Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach

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2018The accuracy of asymmetric GARCH model estimation33 cited

2017Robust bootstrap forecast densities for GARCH returns and volatilities31 cited

2022Outliers and Time-Varying Jumps in the Cryptocurrency Markets28 cited

2015Bootstrap prediction in univariate volatility models with leverage effect25 cited

2020A Model Confidence Set approach to the combination of multivariate volatility forecasts25 cited