Effects of outliers on the identification and estimation of GARCH models

  1. Carnero, M.A.
  2. Peña, D.
  3. Ruiz, E.
Journal:
Journal of Time Series Analysis

ISSN: 0143-9782,  1467-9892

Year of publication: 2007

Volume: 28

Issue: 4

Pages: 471-497

Type: Article

DOI: 10.1111/J.1467-9892.2006.00519.X GOOGLE SCHOLAR
Data source: Scopus