Outliers and misleading leverage effect in asymmetric GARCH-type models

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

ISSN: 1558-3708 1081-1826

Ano de publicación: 2021

Volume: 25

Número: 1

Tipo: Artigo

DOI: 10.1515/SNDE-2018-0073 GOOGLE SCHOLAR