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Breaks and outliers when modelling the volatility of the U.S. stock market

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References

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1989

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On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective

425 cited

2002Detecting multiple breaks in financial market volatility dynamics324 cited

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2018Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction17 cited