Identification of asymmetric conditional heteroscedasticity in the presence of outliers

e-Archivo Repository

Show simple item record Carnero Fernández, María Ángeles Pérez, Ana Ruiz Ortega, Esther
dc.contributor.other Universidad Carlos III De Madrid 2014-07-08T11:18:53Z 2014-07-08T11:18:53Z 2014-07
dc.description.abstract The identification of asymmetric conditional heteroscedasticity is often based on samplecross-correlations between past and squared observations. In this paper we analyse theeffects of outliers on these cross-correlations and, consequently, on the identification ofasymmetric volatilities. We show that, as expected, one isolated big outlier biases thesample cross-correlations towards zero and hence could hide true leverage effect.Unlike, the presence of two or more big consecutive outliers could lead to detectingspurious asymmetries or asymmetries of the wrong sign. We also address the problemof robust estimation of the cross-correlations by extending some popular robustestimators of pairwise correlations and autocorrelations. Their finite sample resistanceagainst outliers is compared through Monte Carlo experiments. Situations with isolatedand patchy outliers of different sizes are examined. It is shown that a modified Ramsayweightedestimator of the cross-correlations outperforms other estimators in identifyingasymmetric conditionally heteroscedastic models. Finally, the results are illustrated withan empirical application
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 14-12
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Cross-correlations
dc.subject.other Leverage effect
dc.subject.other Robust correlations
dc.subject.other EGARCH
dc.title Identification of asymmetric conditional heteroscedasticity in the presence of outliers
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.uxxi DT/0000001217
dc.identifier.repec ws141912
 Find Full text

Files in this item

*Click on file's image for preview. (Embargoed files's preview is not supported)

The following license files are associated with this item:

This item appears in the following Collection(s)

Show simple item record