Additive Level Outliers in Multivariate GARCH Models

Aurea Grané; Helena Veiga; BeléN Martín-Barragán

doi:10.1007/978-1-4939-2104-1_24

Additive Level Outliers in Multivariate GARCH Models

Aurea Grané^*, Helena Veiga, BeléN Martín-Barragán

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract / Description of output

This work analyses the impact of additive level outliers in multivariate time series. Our proposal is to extend the procedure by Grané and Veiga (Comput Stat Data Anal 54:2580–2593, 2010) to the context of Multivariate GARCH models by considering random-projections of multivariate residuals. The effectiveness of this new procedure is evaluated through an intensive Monte Carlo study.

Original language	English
Title of host publication	Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation
Editors	V.B. Melas, Stefania Mignani, Paola Monari
Publisher	Springer
Pages	247-255
Number of pages	9
ISBN (Electronic)	9781493921034
DOIs	https://doi.org/10.1007/978-1-4939-2104-1_24
Publication status	Published - 2014
Event	7th International Workshop on Simulation - Rimini, Italy Duration: 21 May 2013 → 25 May 2013

Publication series

Name	Springer Proceedings in Mathematics and Statistics
Volume	114
ISSN (Print)	2194-1009
ISSN (Electronic)	2194-1017

Conference

Conference	7th International Workshop on Simulation
Country/Territory	Italy
City	Rimini
Period	21/05/13 → 25/05/13

Keywords / Materials (for Non-textual outputs)

Discrete Wavelet Transform
Outlier Detection
Random Projection
Multivariate Time Series
Conditional Correlation

Access to Document

10.1007/978-1-4939-2104-1_24

Cite this

Grané, A., Veiga, H., & Martín-Barragán, B. (2014). Additive Level Outliers in Multivariate GARCH Models. In V. B. Melas, S. Mignani, & P. Monari (Eds.), Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation (pp. 247-255). (Springer Proceedings in Mathematics and Statistics; Vol. 114). Springer. https://doi.org/10.1007/978-1-4939-2104-1_24

@inproceedings{4893ee87aa0d4f0a973661f768d622cf,

title = "Additive Level Outliers in Multivariate GARCH Models",

abstract = "This work analyses the impact of additive level outliers in multivariate time series. Our proposal is to extend the procedure by Gran{\'e} and Veiga (Comput Stat Data Anal 54:2580–2593, 2010) to the context of Multivariate GARCH models by considering random-projections of multivariate residuals. The effectiveness of this new procedure is evaluated through an intensive Monte Carlo study.",

keywords = "Discrete Wavelet Transform, Outlier Detection, Random Projection, Multivariate Time Series, Conditional Correlation",

author = "Aurea Gran{\'e} and Helena Veiga and Bel{\'e}N Mart{\'i}n-Barrag{\'a}n",

year = "2014",

doi = "10.1007/978-1-4939-2104-1_24",

language = "English",

series = "Springer Proceedings in Mathematics and Statistics",

publisher = "Springer",

pages = "247--255",

editor = "V.B. Melas and Stefania Mignani and Paola Monari",

booktitle = "Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation",

note = "7th International Workshop on Simulation ; Conference date: 21-05-2013 Through 25-05-2013",

}

Grané, A, Veiga, H & Martín-Barragán, B 2014, Additive Level Outliers in Multivariate GARCH Models. in VB Melas, S Mignani & P Monari (eds), Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. Springer Proceedings in Mathematics and Statistics, vol. 114, Springer, pp. 247-255, 7th International Workshop on Simulation, Rimini, Italy, 21/05/13. https://doi.org/10.1007/978-1-4939-2104-1_24

Additive Level Outliers in Multivariate GARCH Models. / Grané, Aurea; Veiga, Helena; Martín-Barragán, BeléN.
Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. ed. / V.B. Melas; Stefania Mignani; Paola Monari. Springer, 2014. p. 247-255 (Springer Proceedings in Mathematics and Statistics; Vol. 114).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

TY - GEN

T1 - Additive Level Outliers in Multivariate GARCH Models

AU - Grané, Aurea

AU - Veiga, Helena

AU - Martín-Barragán, BeléN

PY - 2014

Y1 - 2014

N2 - This work analyses the impact of additive level outliers in multivariate time series. Our proposal is to extend the procedure by Grané and Veiga (Comput Stat Data Anal 54:2580–2593, 2010) to the context of Multivariate GARCH models by considering random-projections of multivariate residuals. The effectiveness of this new procedure is evaluated through an intensive Monte Carlo study.

AB - This work analyses the impact of additive level outliers in multivariate time series. Our proposal is to extend the procedure by Grané and Veiga (Comput Stat Data Anal 54:2580–2593, 2010) to the context of Multivariate GARCH models by considering random-projections of multivariate residuals. The effectiveness of this new procedure is evaluated through an intensive Monte Carlo study.

KW - Discrete Wavelet Transform

KW - Outlier Detection

KW - Random Projection

KW - Multivariate Time Series

KW - Conditional Correlation

UR - http://www.scopus.com/inward/record.url?scp=84917672299&partnerID=8YFLogxK

U2 - 10.1007/978-1-4939-2104-1_24

DO - 10.1007/978-1-4939-2104-1_24

M3 - Conference contribution

AN - SCOPUS:84917672299

T3 - Springer Proceedings in Mathematics and Statistics

SP - 247

EP - 255

BT - Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation

A2 - Melas, V.B.

A2 - Mignani, Stefania

A2 - Monari, Paola

PB - Springer

T2 - 7th International Workshop on Simulation

Y2 - 21 May 2013 through 25 May 2013

ER -

Grané A, Veiga H, Martín-Barragán B. Additive Level Outliers in Multivariate GARCH Models. In Melas VB, Mignani S, Monari P, editors, Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. Springer. 2014. p. 247-255. (Springer Proceedings in Mathematics and Statistics). Epub 2014 Nov 18. doi: 10.1007/978-1-4939-2104-1_24

Additive Level Outliers in Multivariate GARCH Models

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