Estimation and inference in ARCH models in the presence of outliers

Journal of Financial Econometrics

Volumn 8, Issue 4, 2010, Pages 547-549

  Gregory, Allan W ^a   Reeves, Jonathan J ^b  

^a QUEEN S UNIVERSITY   (Canada)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

GARCH; Influential observations; Volatility

Indexed keywords

EID: 77956270067     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbq028     Document Type: Article

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