Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model

References

• Allen , D. , Chan , F. , McAleer , M. , and Peiris , S. ( 2008 ), Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks . Journal of Econometrics 147 : 163 – 185 .
   Web of Science ®Google Scholar
• Balke , N. S. , Fomby , T. B. ( 1994 ). Large shocks, and economic fluctuation: outliers in macroeconomic time series . Journal of Applied Econometrics 9 : 181 – 200 .
   Web of Science ®Google Scholar
• Bauwens , L. , Giot , P. , ( 2000 ), The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks . Annales d'Economie et de Statistique 60 : 117 – 149 .
   Google Scholar
• Chang , I. , Tiao , G. C. , Chen , C. ( 1988 ). Estimation of time series parameters in the presence of outliers . Technometrics 30 ( 2 ): 193 – 204 .
   Web of Science ®Google Scholar
• Charles , A. ( 2008 ). Forecasting volatility with outliers in GARCH models . Journal of Forecasting 27 : 551 – 565 .
   Web of Science ®Google Scholar
• Charles , A. , Darné , O. ( 2005 ). Outliers and GARCH models in financial data . Economics Letters 86 : 347 – 352 .
   Web of Science ®Google Scholar
• Charles , A. , Darné , O. ( 2006 ). Large shocks and the September 11th terrorist attacks on international stock markets . Economic Modelling 23 : 683 – 698 .
   Web of Science ®Google Scholar
• Chen , C. , Liu , L. M. ( 1993 ). Joint estimation of model parameters and outlier effects in time series . Journal of the American Statistical Association 88 ( 421 ): 284 – 297 .
   Web of Science ®Google Scholar
• Darné , O. , Diebolt , C. ( 2004 ). Unit roots and infrequent large shocks: new international evidence on output . Journal of Monetary Economics 51 : 1449 – 1465 .
   Web of Science ®Google Scholar
• Easley , D. , O'Hara , M. ( 1992 ). Time and the process of security price adjustment . Journal of Finance 47 : 577 – 605 .
   Web of Science ®Google Scholar
• Engle , R. F. , Russell , J. R. ( 1998 ). Autoregressive conditional duration: a new model for irregularly spaced transaction data . Econometrica 66 ( 5 ): 1127 – 1162 .
   Web of Science ®Google Scholar
• Fox , A. J. ( 1972 ). Outliers in time series . Journal of the Royal Statistical Society, Series B 34 ( 3 ): 350 – 363 .
   Google Scholar
• Franses , P. H. , Ghijsels , H. ( 1999 ). Additive outliers, GARCH and forecasting volatility . International Journal of Forecasting 15 : 1 – 9 .
   Web of Science ®Google Scholar
• Grammig , J. , Maurer , K. O. ( 2000 ). Non-monotonic hazard functions and the autoregressive conditional duration model . The Econometrics Journal 3 : 16 – 38 .
   Google Scholar
• Lunde , A. ( 1999 ). A Generalized Gamma Autoregressive Conditional Duration Model. Working Paper, Department of Economics, Politics and Public Administration, Aalborg University, Denmark .
   Google Scholar
• Muler , N. , Yohai , V. J. ( 2008 ). Robust estimates for GARCH models . Journal of Statistical Planning and Inference 138 : 2918 – 2940 .
   Web of Science ®Google Scholar
• Peña , D. (1990). Influential observations in time series. Journal of Business and Economic Statistics 8:235–241.
   Web of Science ®Google Scholar
• Tsay , R. S. ( 1986 ). Time series model specification in the presence of outliers . Journal of the American Statistical Association 81 ( 393 ): 132 – 141 .
   Web of Science ®Google Scholar
• van Dijk , D. , Franses , P. H. , Lucas , A. ( 1999 ). Testing for ARCH in the presence of additive outliers . Journal of Applied Econometrics 14 ( 5 ): 539 – 562 .
   Web of Science ®Google Scholar