2024-03-28T11:55:44Zhttp://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/214962021-06-23T10:05:51Zcom_10324_1146com_10324_931com_10324_894col_10324_1262
Identification of asymmetric conditional heteroscedasticity in the presence of outliers
Carnero, María Ángeles
Pérez Espartero, Ana
Ruiz, Esther
Estimación, teoría de la
Producción Científica
The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities. We showthat, as expected, one isolated big outlier biases the sample cross-correlations towards zero and hence could hide true leverage effect. Unlike, the presence of two or more big consecutive outliers could lead to detecting spurious asymmetries or asymmetries of the wrong sign. We also address the problem of robust estimation of the cross-correlations by extending some popular robust estimators of pairwise correlations and autocorrelations. Their finite sample resistance against outliers is compared through Monte Carlo experiments. Situations with isolated and patchy outliers of different sizes are examined. It is shown that a modified Ramsay-weighted estimator of the cross-correlations outperforms other estimators in identifying asymmetric conditionally heteroscedastic models. Finally, the results are illustrated with an empirical application.
Ministerio de Economía, Industria y Competitividad (ECO2012-32401)
Ministerio de Economía, Industria y Competitividad (ECO2014-58434-P)
Junta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA066U13)
Generalitat Valenciana project PROMETEO/2013/037
2016-12-09T10:55:59Z
2016-12-09T10:55:59Z
2016
info:eu-repo/semantics/article
SERIEs: Journal of the Spanish Economic Association, 2016, vol. 7, Issue 1, p. 179–201
1869-4187
http://uvadoc.uva.es/handle/10324/21496
10.1007/s13209-015-0131-4
179
7
201
SERIEs:Journal of the Spanish Economic Association
eng
http://rd.springer.com
Attribution-NonCommercial-NoDerivatives 4.0 International
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
application/pdf
Springer Open
https://uvadoc.uva.es/bitstream/10324/21496/6/SERIEs.pdf.jpg
Hispana
TEXT
http://creativecommons.org/licenses/by-nc-nd/4.0/
UVaDOC. Repositorio Documental de la Universidad de Valladolid
http://uvadoc.uva.es/handle/10324/21496