1 |
Franses, P. H. and Ghijsels, H. (1999). Additive outliers, GARCH and forecasting volatility, International Journal of Forecasting, 15, 1-9.
DOI
ScienceOn
|
2 |
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-327.
DOI
ScienceOn
|
3 |
Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control, Holden Day, San Francisco.
|
4 |
Charles, A. and Darne, O. (2006). Outliers and GARCH models in financial data, Journal of Economics Letters, 86, 347-352.
|
5 |
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987-1007.
DOI
ScienceOn
|
6 |
Fox, A. J. (1972). Outliers in time series, Journal of Royal Statistical Society B, 34, 350-363.
|