98-057/4 - Short Patches of Outliers, ARCH and Volatility Modeling

• Authors
  Philip Hans Franses; Dick van Dijk, Erasmus University Rotterdam; André Lucas, Vrije Universiteit Amsterdam
• Publication date
  June 4, 1998

• Keywords
  Generalized AutoRegressive Conditional Heteroskedasticity; Lagrange Multiplier test; Outliers; Robust testing; Exchange rates; Stock market indices