Detecting outliers in multivariate volatility models: a wavelet procedure
Copyright policy )Detecting outliers in multivariate volatility models: a wavelet procedure
It is well known that outliers can affect both the estimation of parameters and volatilities when fitting a univariate GARCH-type model. Similar biases and impacts are expected to be found on correlation dynamics in the context of multivariate time series. We study the impact of outliers on the estimation of correlations when fitting multivariate GARCH models and propose a general detection algorithm based on wavelets, that can be applied to a large class of multivariate volatility models. Its effectiveness is evaluated through a Monte Carlo study before it is applied to real data. The method is both effective and reliable, since it detects very few false outliers.
Peer Reviewed
- Universitat Polite`cnica de Catalunya Spain
- University of Edinburgh United Kingdom
- Autonomous University of Barcelona Spain
- Universitat Politècnica de Catalunya Spain
- Iscte - Instituto Universitário de Lisboa Portugal
Estadística matemàtica, Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics, Nonparametric robustness, Matemáticas, social and behavioral sciences::91B Mathematical economics, Classificació AMS::62 Statistics::62H Multivariate analysis, Estadística, :Ciências Sociais::Outras Ciências Sociais [Domínio/Área Científica], Wavelets, Multivariate distribution of statistics, wavelets, :62 Statistics::62G Nonparametric inference [Classificació AMS], Economía, :Ciências Naturais::Matemáticas [Domínio/Área Científica], correlations, Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica, :91 Game theory, economics, social and behavioral sciences::91B Mathematical economics [Classificació AMS], Anàlisi multivariable, Classificació AMS::62 Statistics::62M Inference from stochastic processes, multivariate GARCH models, Matemàtica financera, Outliers, Ciencias de la Información, :65 Numerical analysis::65C Probabilistic methods, simulation and stochastic differential equations [Classificació AMS], Domínio/Área Científica::Ciências Sociais::Outras Ciências Sociais, Anàlisi numèrica, :62 Statistics::62M Inference from stochastic processes [Classificació AMS], Domínio/Área Científica::Ciências Naturais::Matemáticas, Correlations, Multivariate GARCH models, outliers, Classificació AMS::91 Game theory, Monte Carlo methods, :62 Statistics::62H Multivariate analysis [Classificació AMS], simulation and stochastic differential equations, economics, :Ciências Sociais::Economia e Gestão [Domínio/Área Científica], Classificació AMS::65 Numerical analysis::65C Probabilistic methods, simulation and stochastic differential equations, Economic time series analysis, Domínio/Área Científica::Ciências Sociais::Economia e Gestão, Time series, auto-correlation, regression, etc. in statistics (GARCH), :Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC], Multivariate garch models, Classificació AMS::65 Numerical analysis::65C Probabilistic methods, Classificació AMS::62 Statistics::62G Nonparametric inference
Estadística matemàtica, Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics, Nonparametric robustness, Matemáticas, social and behavioral sciences::91B Mathematical economics, Classificació AMS::62 Statistics::62H Multivariate analysis, Estadística, :Ciências Sociais::Outras Ciências Sociais [Domínio/Área Científica], Wavelets, Multivariate distribution of statistics, wavelets, :62 Statistics::62G Nonparametric inference [Classificació AMS], Economía, :Ciências Naturais::Matemáticas [Domínio/Área Científica], correlations, Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica, :91 Game theory, economics, social and behavioral sciences::91B Mathematical economics [Classificació AMS], Anàlisi multivariable, Classificació AMS::62 Statistics::62M Inference from stochastic processes, multivariate GARCH models, Matemàtica financera, Outliers, Ciencias de la Información, :65 Numerical analysis::65C Probabilistic methods, simulation and stochastic differential equations [Classificació AMS], Domínio/Área Científica::Ciências Sociais::Outras Ciências Sociais, Anàlisi numèrica, :62 Statistics::62M Inference from stochastic processes [Classificació AMS], Domínio/Área Científica::Ciências Naturais::Matemáticas, Correlations, Multivariate GARCH models, outliers, Classificació AMS::91 Game theory, Monte Carlo methods, :62 Statistics::62H Multivariate analysis [Classificació AMS], simulation and stochastic differential equations, economics, :Ciências Sociais::Economia e Gestão [Domínio/Área Científica], Classificació AMS::65 Numerical analysis::65C Probabilistic methods, simulation and stochastic differential equations, Economic time series analysis, Domínio/Área Científica::Ciências Sociais::Economia e Gestão, Time series, auto-correlation, regression, etc. in statistics (GARCH), :Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC], Multivariate garch models, Classificació AMS::65 Numerical analysis::65C Probabilistic methods, Classificació AMS::62 Statistics::62G Nonparametric inference
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