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Detecting outliers in multivariate volatility models: A wavelet procedure
(Institut d'Estadística de Catalunya, 2019-12-17)
Article.
Accés obert
Article.
Accés obert
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 ...