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dc.contributor.authorGregory, Allan Wen_NZ
dc.contributor.authorReeves, Jonathan Jen_NZ
dc.date.available2011-04-07T03:18:58Z
dc.date.copyright2001-01-31en_NZ
dc.identifier.citationGregory, A. W., & Reeves, J. J. (2001, January 31). Estimation and inference in ARCH models in the presence of outliers. University of Otago Department of Finance Seminar Series. Presented at the Finance Seminars for 2001.en
dc.identifier.urihttp://hdl.handle.net/10523/1519
dc.description.abstractIn this paper we show the effects that outliers have on estimation and inference for ARCH models. We propose an empirically tractable solution to this problem by replacing outliers with their conditional expectations (optimal forecasts) in the likelihood function. This solution works well in both simulations and applications for a wide class of ARCH models. We demonstrate the accuracy of the procedure for parameter estimation, forecasting, and asset pricing. The empirical examples include U.S. interest rate, foreign exchange rate and stock index data. In addition, we offer a robust bootstrap for outliers.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_01.htmlen_NZ
dc.subjectARCH models; Foreign exchange rates; Interest rates ; Outliers ; Stock Pricesen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleEstimation and inference in ARCH models in the presence of outliersen_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages22en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints592en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
dc.description.referencesAnderson, T. G. and Lund, J., (1997), "Estimating Continuious-Time Stochastic Volatility Models of the Short-term Interest rate," Journal of Econometrics, 77, 343-377 . Bollerslev, T., Chou, R.Y., and Kroner, K.F., (1992), "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence." Journal of Econometrics, 52, 5-59. Bollerslev, T.,and Mikkelsen, H.O., (1996), "Modelling and Pricing Long Memory in Stock Market Volatility," Journal of Econometrics, 73, 151-184. Bollerslev, T., and Wooldridge, J.M., (1992), "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances," Econometric Reviews, 11(2), 143-172. Engle, R. F., (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, 50, 987-1007 . Engle, R. F., Kane, A., and Noh, J., (1997), Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," Review of Derivatives Research, 1, 139-157 Franses, P. H., and Ghijsels, H ., (1999), "Additive Outliers," GARCH and Forecasting Volatility, International Journal of Forecasting, 15, 1-9 . Glosten, L. R., Jagannathan, R., and Runkle, D.E. (1993), "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, 48, 1779-1802 . Hull, J . and White, A ., (1987), "The Pricing Options on Assets with Stochastic Volatility," Journal of Finance, 42, 281-300. Lee, S ., and Hansen, B . E., (1994), "Asymptotic Theory for the GARCH(1,1) Quasi-Maximum Likelihood Estimator in IGRACH(1,1) and Covariance Stationary GRACH(1,1) Models," Econometrica, 64, 575-596 . Lumsdaine, R. L., (1996), "Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Sationary GARCH(1,1) Models," Econometrica, 64, 575-596 . Noh, J ., Engle, R. F ., and Kane, A., (1994) "A Test of Efficiency for the S & P 500 Index Option Market using Variance Forecasts," Journal of Derivatives, 2, 17-30 Sakata, S., and White, H ., (1998), "High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility," Econometrica, 66, 529- 567 West, K.D. and Cho, D., (1995), "The Predicative Ability of Several Models of Exchange Rate Volatility," Journal of Econometrics, 69, 367-391 .en_NZ
otago.event.dates31 January 2001en_NZ
otago.event.placeRoom 5.20, University of Otago, Dunedin, New Zealanden_NZ
otago.event.typeotheren_NZ
otago.event.titleFinance Seminars for 2001en_NZ
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