Outlier robust specification of multiplicative time-varying volatility models

NIPE 11.2022

Bibliographic Details
Main Author: Amado, Cristina (author)
Format: workingPaper
Language:eng
Published: 2022
Subjects:
Conditional heteroskedasticity
Testing parameter constancy
Model speci fication
Time-varying unconditional variance
Outliers
C12
C32
C51
C52
Online Access:https://hdl.handle.net/1822/81323
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/81323

Internet

https://hdl.handle.net/1822/81323

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