Outlier detection in GARCH models

By Jurgen A. Doornik, Marius Ooms. 2005

61 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b5736b75795ddb1dc9a4e17b9a39e3d5be1d6fff

How researchers see this paper

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

1. Maria-Eugenia Sanin
2. Francesco Violante
3. M. Mansanet-Bataller
4. Julien Chevallier
5. Ulrich Oberndorfer

Citations in the corpus

• Understanding volatility dynamics in the EU-ETS market (2009, methodology): “An interesting approach to identify level and variance shifts is the outliers detection procedure by Doornik and Ooms (2005).”