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https://hdl.handle.net/1822/81323
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Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Amado, Cristina | por |
dc.date.accessioned | 2022-12-21T13:50:52Z | - |
dc.date.available | 2022-12-21T13:50:52Z | - |
dc.date.issued | 2022 | - |
dc.identifier.uri | https://hdl.handle.net/1822/81323 | - |
dc.description | NIPE 11.2022 | por |
dc.description.abstract | Nonstationarity and outlying observations are commonly encountered in financial time series. It is thus expected that models are able to accommodate these stylized facts and the techniques used are suitable to specify such models. In this paper we relax the assumption of stationarity and consider the problem of detecting smooth changes in the unconditional variance in the presence of outliers. It is found by simulation that the misspecifi cation test for constancy of the unconditional variance in GARCH models can be severely adversely affected in the presence of additive outliers. An outlier robust specifi cation procedure is also proposed to mitigate the effects of outliers for building multiplicative time-varying volatility models. The outlier robust variant of the test is shown to perform better than the conventional test in terms of size and power. An application to commodity returns illustrates the usefulness of the robust specifi cation procedure. | por |
dc.description.sponsorship | This research was carried out within the funding from COMPETE with reference POCI-01-0145-FEDER-028234, with the FCT/MECs (Fundação para a Ciência e a Tecnologia, I.P.) financial support through national funding and by the ERDF through the Operational Programme on ”Competitiveness and Internationalization” - COMPETE 2020 under the PT2020 Part nership Agreement. Any errors and shortcomings in this work are my own responsibility | por |
dc.language.iso | eng | por |
dc.publisher | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F03182%2F2020/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDP%2F03182%2F2020/PT | por |
dc.rights | openAccess | por |
dc.subject | Conditional heteroskedasticity | por |
dc.subject | Testing parameter constancy | por |
dc.subject | Model speci fication | por |
dc.subject | Time-varying unconditional variance | por |
dc.subject | Outliers | por |
dc.title | Outlier robust specification of multiplicative time-varying volatility models | eng |
dc.type | workingPaper | por |
dc.relation.publisherversion | https://nipe.eeg.uminho.pt/en/nipe-publications/#documentos-de-trabalho | por |
dc.subject.jel | C12 | - |
dc.subject.jel | C32 | - |
dc.subject.jel | C51 | - |
dc.subject.jel | C52 | - |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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WP-11.2022.pdf | Outlier Robust Specification of Multiplicative Time-Varying Volatility Models | 1,15 MB | Adobe PDF | Ver/Abrir |