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Estimating GARCH volatility in the presence of outliers
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Cited by:
- Charles, Amélie & Darné, Olivier, 2014.
"Volatility persistence in crude oil markets,"
Energy Policy, Elsevier, vol. 65(C), pages 729-742.
- Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
- Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
- Charles, Amélie & Darné, Olivier, 2014.
"Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013,"
Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
- Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
- Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
- Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ferrara, Laurent & Marsilli, Clément & Ortega, Juan-Pablo, 2014.
"Forecasting growth during the Great Recession: is financial volatility the missing ingredient?,"
Economic Modelling, Elsevier, vol. 36(C), pages 44-50.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013. "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," EconomiX Working Papers 2013-19, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013. "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," Working Papers hal-04141198, HAL.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2014. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Post-Print hal-01385941, HAL.
- Ferrara, L. & Marsilli, C. & Ortega, J-P., 2013. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Working papers 454, Banque de France.
- Liu, Min & Taylor, James W. & Choo, Wei-Chong, 2020. "Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing," Economic Modelling, Elsevier, vol. 93(C), pages 651-659.
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
- Amélie Charles & Olivier Darné, 2019.
"The accuracy of asymmetric GARCH model estimation,"
International Economics, CEPII research center, issue 157, pages 179-202.
- Charles, Amélie & Darné, Olivier, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, vol. 157(C), pages 179-202.
- Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
- Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
- Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.
- Carlos Trucíos & James W. Taylor, 2023. "A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 989-1007, July.
- Carnero M. Angeles & Pérez Ana, 2021.
"Outliers and misleading leverage effect in asymmetric GARCH-type models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Working Papers. Serie AD 2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
- Patrick F. Patrocinio & Valderio A. Reisen & Pascal Bondon & Edson Z. Monte & Ian M. Danilevicz, 2024. "M-Quantile Estimation for GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2175-2192, June.
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015.
"The role of outliers and oil price shocks on volatility of metal prices,"
Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
- Niaz Bashiri Behmiri & Matteo Manera, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Working Papers 2015.77, Fondazione Eni Enrico Mattei.
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Energy: Resources and Markets 208768, Fondazione Eni Enrico Mattei (FEEM).
- Trucíos, Carlos & Hotta, Luiz K., 2016. "Bootstrap prediction in univariate volatility models with leverage effect," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 120(C), pages 91-103.
- Charles, Amélie & Darné, Olivier, 2017.
"Forecasting crude-oil market volatility: Further evidence with jumps,"
Energy Economics, Elsevier, vol. 67(C), pages 508-519.
- Amélie Charles & Olivier Darné, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Post-Print hal-01598141, HAL.
- Huang Zibin & Ibragimov Rustam, 2022. "Equity returns and sentiment," Dependence Modeling, De Gruyter, vol. 10(1), pages 159-176, January.
- Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
- repec:hal:wpaper:hal-01943883 is not listed on IDEAS
- Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
- Cioroianu, Iulia & Corbet, Shaen & Larkin, Charles, 2021. "Guilt through association: Reputational contagion and the Boeing 737-MAX disasters," Economics Letters, Elsevier, vol. 198(C).
- Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
- Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019.
"On the robustness of the principal volatility components,"
Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
- Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Charles, Amélie & Darné, Olivier & Pop, Adrian, 2015.
"Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes,"
Research in International Business and Finance, Elsevier, vol. 35(C), pages 33-56.
- Amélie Charles & Olivier Darné & Adrian Pop, 2015. "Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes," Post-Print hal-01153899, HAL.
- Abdeljalil Settar & Nadia Idrissi Fatmi & Mohammed Badaoui, 2021. "New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(1), pages 55-74, March.
- Anupam Dutta & Elie Bouri, 2022. "Outliers and Time-Varying Jumps in the Cryptocurrency Markets," JRFM, MDPI, vol. 15(3), pages 1-7, March.
- Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fiszeder, Piotr & Małecka, Marta & Molnár, Peter, 2024. "Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies," Economic Modelling, Elsevier, vol. 141(C).
- Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2023. "S&P 500 volatility, volatility regimes, and economic uncertainty," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1362-1387, October.
- Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
- Wang, Weichen & An, Ran & Zhu, Ziwei, 2024. "Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective," Journal of Econometrics, Elsevier, vol. 239(2).
- Yingying Xu & Donald Lien, 2022. "Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 259-278, March.