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oai: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 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. 2016-12-09T10:55:59Z 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 info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by-nc-nd/4.0/ Attribution-NonCommercial-NoDerivatives 4.0 International Springer Open