## Abstract In this paper, we detect and correct abnormal returns in 17 French stocks returns and the French index CAC40 from additiveβoutlier detection method in GARCH models developed by Franses and Ghijsels (1999) and extended to innovative outliers by Charles and DarnΓ© (2005). We study the effe
Additive outliers, GARCH and forecasting volatility
β Scribed by Philip Hans Franses; Hendrik Ghijsels
- Book ID
- 114175064
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 73 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0169-2070
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