Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction

Advances in Mathematics and Applications ◽

10.1007/978-3-319-94015-1_8 ◽

2018 ◽

pp. 179-202 ◽

Cited By ~ 3

Author(s):

Luiz Koodi Hotta ◽

Carlos Trucíos

Keyword(s):

Garch Models ◽

Estimation And Prediction ◽

Additive Outliers

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Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach

Journal of Statistical Computation and Simulation ◽

10.1080/00949655.2017.1334778 ◽

2017 ◽

Vol 87 (12) ◽

pp. 2430-2449 ◽

Cited By ~ 2

Author(s):

Guillermo Ferreira ◽

Jean P. Navarrete ◽

Francisco J. Rodríguez-Cortés ◽

Jorge Mateu

Keyword(s):

State Space ◽

Computational Approach ◽

Space Representation ◽

Garch Models ◽

Time Varying ◽

State Space Representation ◽

Estimation And Prediction

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Model estimation and prediction of sunspots cycles through AR-GARCH models

Indian Journal of Physics ◽

10.1007/s12648-021-02135-9 ◽

2021 ◽

Author(s):

Asma Zaffar ◽

Shaheen Abbas ◽

Muhammad Rashid Kamal Ansari

Keyword(s):

Garch Models ◽

Model Estimation ◽

Estimation And Prediction

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Forecasting volatility in GARCH models with additive outliers

Quantitative Finance ◽

10.1080/14697680601116872 ◽

2007 ◽

Vol 7 (6) ◽

pp. 591-596 ◽

Cited By ~ 9

Author(s):

Beatriz Catalán ◽

F. Javier Trívez

Keyword(s):

Garch Models ◽

Additive Outliers ◽

Forecasting Volatility

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DCC-Garch Models Using Islamic Market and European Market Indices

Islamic Banking and Finance Review ◽

10.32350/ibfr.2017.04.01 ◽

2017 ◽

Vol 04 ◽

pp. 01-20

Author(s):

Sabbah Gueddoudj ◽

Keyword(s):

European Market ◽

Garch Models

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Estimation and Prediction of Difficult Formalized Processes of Different Physical Nature

Journal of Automation and Information Sciences ◽

10.1615/jautomatinfscien.v40.i11.30 ◽

2008 ◽

Vol 40 (11) ◽

pp. 23-35 ◽

Cited By ~ 2

Author(s):

Natalya D. Pankratova ◽

Tatyana V. Podladchikova

Keyword(s):

Physical Nature ◽

Estimation And Prediction

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Estimation and prediction for non-Gaussian autoregressive processes

10.31274/rtd-180813-13308 ◽

1997 ◽

Author(s):

Pradipta Sarkar

Keyword(s):

Autoregressive Processes ◽

Estimation And Prediction ◽

Non Gaussian

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MÉTODO DE ESTIMATIVA E PREVISÃO DE MOVIMENTO EM SÉRIES TEMPORAIS DE IMAGENS / MOTION ESTIMATION AND PREDICTION METHOD IN IMAGE TIME SERIES

Brazilian Journal of Development ◽

10.34117/bjdv6n9-627 ◽

2020 ◽

Vol 6 (9) ◽

pp. 72476-72483

Author(s):

Harold Ivan Angulo Bustos ◽

Dickson Nascimento Dantas ◽

Dario José Aloise

Keyword(s):

Time Series ◽

Motion Estimation ◽

Prediction Method ◽

Estimation And Prediction

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Analytic derivatives of asymmetric Garch models

The Journal of Computational Finance ◽

10.21314/jcf.2003.106 ◽

2003 ◽

Vol 6 (3) ◽

pp. 21-63 ◽

Cited By ~ 1

Author(s):

George Levy

Keyword(s):

Garch Models ◽

Asymmetric Garch ◽

Derivatives Of

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Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation

The Journal of Risk ◽

10.21314/jor.2004.091 ◽

2004 ◽

Vol 6 (3) ◽

pp. 27-52 ◽

Cited By ~ 10

Author(s):

J Venter ◽

P de Jongh

Keyword(s):

Garch Models ◽

Volatility Estimation ◽

Improve Efficiency

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A Note on the Vogelsang Test for Additive Outliers

SSRN Electronic Journal ◽

10.2139/ssrn.1147024 ◽

2006 ◽

Cited By ~ 2

Author(s):

Niels Haldrup ◽

Andreu Sansó

Keyword(s):

Additive Outliers

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