English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Título Revista
Sort: Statistics and Operations Research Transactions
Ano (publicação definitiva)
2019
Língua
Inglês
País
Espanha
Mais Informação
Web of Science®
Scopus
Google Scholar
Abstract/Resumo
It is well known that outliers can affect both the estimation of parameters and volatilities when fitting a univariate GARCH-type model. Similar biases and impacts are expected to be found on correlation dynamics in the context of multivariate time series. We study the impact of outliers on the estimation of correlations when fitting multivariate GARCH models and propose a general detection algorithm based on wavelets, that can be applied to a large class of multivariate volatility models. Its effectiveness is evaluated through a Monte Carlo study before it is applied to real data. The method is both effective and reliable, since it detects very few false outliers.
Agradecimentos/Acknowledgements
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Palavras-chave
Correlations,Multivariate GARCH models,Outliers,Wavelets
Classificação Fields of Science and Technology
- Matemáticas - Ciências Naturais
- Economia e Gestão - Ciências Sociais
- Outras Ciências Sociais - Ciências Sociais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| FQM-329 | Junta de Andalucia |
| PGC2018-096977-B-l00 | Spanish Ministry of Science, Innovation and Universitie |
| MTM2012-36163-C06-03 | Spanish Ministry of Economy and Competitiveness |
| ECO2015-70331-C2-2-R | Spanish Ministry of Economy and Competitiveness |
| MTM2014-56535-R | Spanish Ministry of Economy and Competitiveness |
| UID/GES/00315/2019 | Fundação para a Ciência e a Tecnologia |
