Forecasting volatility in GARCH models with additive outliers

被引：12

作者：

Catalan, Beatriz ^{[1
]}

Trivez, F. Javier ^{[1
]}

机构：

[1] Fac Ciencias Econ, Dept Anal Econ, Zaragoza, Spain

来源：

QUANTITATIVE FINANCE | 2007年 / 7卷 / 06期

关键词：

D O I：

10.1080/14697680601116872

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

收藏

页码：591 / 596

页数：6

相关论文

共 29 条

[21] Automated inference and learning in modeling financial volatility
McAleer, M
[J]. ECONOMETRIC THEORY, 2005, 21 (01) : 232 - 261
[22] ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY
PAGAN, AR
SCHWERT, GW
[J]. JOURNAL OF ECONOMETRICS, 1990, 45 (1-2) : 267 - 290
[23] An outlier robust GARCH model and forecasting volatility of exchange rate returns
Park, BJ
[J]. JOURNAL OF FORECASTING, 2002, 21 (05) : 381 - 393
[24] Forecasting in the presence of large shocks
Phillips, RF
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1996, 20 (9-10) : 1581 - 1608
[25] High breakdown point conditional dispersion estimation with application to S&P 500 daily returns volatility
Sakata, S
White, H
[J]. ECONOMETRICA, 1998, 66 (03) : 529 - 567
[26] LEVEL SHIFTS, TEMPORARY CHANGES AND FORECASTING
TRIVEZ, FJ
[J]. JOURNAL OF FORECASTING, 1995, 14 (06) : 543 - 550
[27] TSAY RS, 1986, J AM STAT ASSOC, V81, P1321
[28] Van Dijk D, 1999, J BUS ECON STAT, V17, P217
[29] REALLOCATION OUTLIERS IN TIME-SERIES
WU, LSY
HOSKING, JRM
RAVISHANKER, N
[J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS, 1993, 42 (02) : 301 - 313