Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963629 | Journal of International Financial Markets, Institutions and Money | 2008 | 18 Pages |
Abstract
The efficiency of this outlier-correction technique is first tested with a simulation study, before being applied to five Asian stock market returns to identify the outlying observations. After an analysis of these extreme fluctuations, the out-of-sample forecasting performance of our outlier-corrected model is then compared to the classical forecasts of a GARCH model in which no account is taken of outliers.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Thierry Ané, Loredana Ureche-Rangau, Jean-Benoît Gambet, Julien Bouverot,