Understanding the importance of sustainability, the increasing ecological concerns need
resource management under the cumulative mineral dependency. In this vein, prices of …

The (M) GARCH models are probably the most widely used to estimate and predict volatility.
Estimation and prediction of volatility are very important in many financial applications. One …

Outliers in time-series data are crucial in model estimation and forecasting. Understanding
the importance of false detection of outliers in various autoregressive processes, the present …

The aim of this paper is to appraise if there is any improvement subtracting the effects of
outliers from existing heteroscedastic models and whether this improvement makes …

Dispersion measurement and tuning constants are critical aspects of a model's robustness
and efficiency. However, in the presence of outliers, the standard deviation is not a reliable …

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 …

In this Master's thesis, different models for outlier detection in financial time series are
examined. The financial time series are price series such as index prices or asset prices …