Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model

Min Hsien Chiang, Ray Yeutien Chou, Li Min Wang

研究成果: Article

5 引文 斯高帕斯(Scopus)

摘要

An outlier detection procedure in the lognormal logarithmic conditional autoregressive range (lognormal Log-CARR) model is proposed. The proposed test statistic is demonstrated to be well-sized and to have good power using Monte Carlo simulations. Furthermore, the outlier detection procedure suffers less from the masking effect caused by multiple outliers. The results of an empirical investigation show that the proposed method can effectively detect volatility outliers and improve forecasting accuracy.

原文English
頁(從 - 到)126-144
頁數19
期刊Oxford Bulletin of Economics and Statistics
78
發行號1
DOIs
出版狀態Published - 2016 二月 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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