Título:

Outliers, GARCH-Type Models and Risk Measures: A Comparison of Several Approaches

Autores:

Aurea Grane (U Carlos III)
Helena Veiga (ISCTE - Instituto Universitário de Lisboa, U Carlos III, UNIDE - ISCTE, IUL)

Revista:

Journal Of Empirical Finance

Ano:

2014

Volume:

26

Páginas:

26-40

Códigos JEL:

C53 - Forecasting and Other Model Applications
C58 - Financial Econometrics
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G28 - Government Policy and Regulation
G31 - Capital Budgeting; Fixed Investment and Inventory Studies
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure