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Testing for Arch in the Presence of Additive Outliers

✍ Scribed by Dick van Dijk, Philip Hans Franses and André Lucas

Book ID
123709607
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
659 KB
Volume
14
Category
Article
ISSN
0883-7252

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📜 SIMILAR VOLUMES

Testing for ARCH in the presence of addi
Testing for ARCH in the presence of additive outliers
✍ Dick Van Dijk; Philip Hans Franses; André Lucas 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 279 KB 👁 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

Monitoring and adjusting forecasts in th
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✍ Steven Hillmer 📂 Article 📅 1984 🏛 John Wiley and Sons 🌐 English ⚖ 555 KB

The effect of an additive outlier upon the accuracy of forecasts derived from extrapolative methods is investigated. It is demonstrated that an outlier affects not only the accuracy of the forecasts at the time of occurrence but also subsequent forecasts. Methods to adjust for additive outliers are