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dc.contributor.authorAné, Thierry*
dc.contributor.authorUreche-Rangau, Loredana*
dc.contributor.authorGambet, Jean-Benoît*
dc.contributor.authorBouverot, Julien*
dc.date.accessioned2014-03-13T14:44:52Z
dc.date.available2014-03-13T14:44:52Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12897
dc.language.isoenen
dc.subjectOutliersen
dc.subjectGARCHen
dc.subjectVolatility forecasten
dc.subject.ddc332en
dc.subject.classificationjelC13en
dc.subject.classificationjelC15en
dc.subject.classificationjelC51en
dc.titleRobust outlier detection for Asia–Pacific stock index returnsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenOutliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)–GARCH(1,1) model to calculate interval forecasts for one-step ahead returns that are then compared to realized returns to determine whether or not we are in the presence of an aberrant observation. The GARCH model, however, is only used as a filter and the identification algorithm remains robust to model misspecifications. 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.en
dc.relation.isversionofjnlnameJournal of International Financial Markets, Institutions and Money
dc.relation.isversionofjnlvol18en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2008
dc.relation.isversionofjnlpages326-343en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.intfin.2007.03.001en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
hal.person.labIds*
hal.person.labIds253515*
hal.person.labIds*
hal.person.labIds*


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