𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Cointegration analysis in the presence of outliers

✍ Scribed by Heino Bohn Nielsen


Book ID
110879975
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
188 KB
Volume
7
Category
Article
ISSN
1368-4221

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Testing for ARCH in the presence of addi
✍ Dick Van Dijk; Philip Hans Franses; AndrΓ© Lucas πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 279 KB πŸ‘ 2 views

In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely aected if AOs