Effects of outliers on the identification and estimation of GARCH models

By M. A. Carnero, D. Pena, Esther Ruiz. 2007

110 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/94f55e752ba442caa9fa3c432121ed468b8d5a86

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yasemen Ucan
2. Nilgun Guler Bayazit
3. Melike Bildirici
4. Muhammad Shahbaz
5. N. Apergis
6. D. Danuletiu

In Finance

1. Yasemen Ucan
2. Nilgun Guler Bayazit
3. Melike Bildirici

In Statistics and Probability

1. Yasemen Ucan
2. Melike Bildirici
3. Nilgun Guler Bayazit

Citations in the corpus

• Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM (2020, background): “The outliers may impact the estimation and identification power of the generalised autoregressive conditional heteroskedasticity (GARCH) methods and can cause heteroscedasticity or conditional heteroscedasticity [24,25].”