Outliers and misleading leverage effect in asymmetric GARCH-type models

  1. Carnero, M.A.
  2. Pérez, A.
Journal:
Studies in Nonlinear Dynamics and Econometrics

ISSN: 1558-3708 1081-1826

Year of publication: 2021

Volume: 25

Issue: 1

Type: Article

DOI: 10.1515/SNDE-2018-0073 GOOGLE SCHOLAR