Robust outlier detection for Asia-Pacific stock index returns

Journal of International Financial Markets, Institutions and Money

Volumn 18, Issue 4, 2008, Pages 326-343

  Ané, Thierry ^a   Ureche Rangau, Loredana ^b,c   Gambet, Jean Benoît ^d   Bouverot, Julien ^d  

^a UNIVERSITÉ DE REIMS CHAMPAGNE ARDENNE   (France)

^b IESEG SCHOOL OF MANAGEMENT   (France)

^c UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^d UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

GARCH; Outliers; Volatility forecast

Indexed keywords

EID: 44649159483     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2007.03.001     Document Type: Article

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