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28 p, 2.6 MB Detecting outliers in multivariate volatility models : a wavelet procedure / Grané, Aurea (Universidad Carlos III de Madrid. Departamento de Estadística) ; Martín-Barragán, Belén (University of Edinburgh Business Schoo) ; Veiga, Helena (Instituto Universitario de Lisboa)
It is well known that outliers can affect both the estimation of parameters and volatilities when fitting a univariate GARCH-type model. Similar biases and impacts are expected to be found on correlation dynamics in the context of multivariate time series. [...]
2019 - 10.2436/20.8080.02.89
SORT : statistics and operations research transactions, Vol. 43 Núm. 2 (July-December 2019) , p. 289-316  
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