Additive Level Outliers in Multivariate GARCH Models

This work analyses the impact of additive level outliers in multivariate time series. Our proposal is to extend the procedure by Grane 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.

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