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05-092/4 - Outlier Detection in GARCH Models


  • Authors
    Jurgen A. Doornik, Nuffield College, University of Oxford; Marius Ooms, Department of Econometrics, Vrije Universiteit Amsterdam
  • Publication date
    October 13, 2005
  • Keywords
    Dummy variable; Generalized Autoregressive Conditional Heteroskedasticity; GARCH-t; Outlier detection; Extreme value distribution
  • JEL
    C22; C52; G10