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    Por favor, use este identificador para citar o enlazar este ítem:http://uvadoc.uva.es/handle/10324/37924

    Título
    Outliers and misleading leverage effect in asymmetric GARCH-type models
    Autor
    Carnero, María Ángeles
    Pérez Espartero, AnaAutoridad UVA Orcid
    Editor
    Instituto Valenciano de Investigaciones Económicas
    Año del Documento
    2018
    Descripción
    Producción Científica
    Documento Fuente
    Documentos de Trabajo. Serie AD, 2018-01
    Résumé
    This paper illustrates how outliers can affect both the estimation and testing of leverage effect by focusing on the TGARCH model. Three estimation methods are compared through Monte Carlo experiments: Gaussian Quasi-Maximum Likelihood, Quasi-Maximum Likelihood based on the t Student likelihood and Least Absolute Deviation method. The empirical behavior of the t-ratio and the Likelihood Ratio tests for the significance of the leverage parameter is also analyzed. Our results put forward the unreliability of Gaussian Quasi-Maximum Likelihood methods in the presence of outliers. In particular, we show that one isolated outlier could hide true leverage effect whereas two consecutive outliers bias the estimated leverage coefficient in a direction that crucially depends on the sign of the first outlier and could lead to wrongly reject the null of no leverage effect or to estimate asymmetries of the wrong sign. By contrast, we highlight the good performance of the robust estimators in the presence of an isolated outlier. However, when there are patches of outliers, our findings suggest that the sizes and powers of the tests as well as the estimated parameters based on robust methods may still be distorted in some cases. We illustrate these results with two series of daily returns, namely the Spain IGBM Consumer Goods index and the futures contracts of the Natural gas.
    Materias (normalizadas)
    Montecarlo, Método de
    Materias Unesco
    1209.01 Estadística Analítica
    Departamento
    Economía Aplicada
    DOI
    10.12842/WPAD-2018-01
    Patrocinador
    ECO2014-58434-P
    ECO2016-77900-P
    Idioma
    eng
    URI
    http://uvadoc.uva.es/handle/10324/37924
    Tipo de versión
    info:eu-repo/semantics/publishedVersion
    Derechos
    openAccess
    Aparece en las colecciones
    • DEP20 - Otros Documentos (Monografías, Informes, Memorias, Documentos de Trabajo, etc) [4]
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    WP-AD 2018-01.pdf
    Tamaño:
    1.043Mo
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    Attribution-NonCommercial-NoDerivatives 4.0 InternacionalExcepté là où spécifié autrement, la license de ce document est décrite en tant que Attribution-NonCommercial-NoDerivatives 4.0 Internacional

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