期刊名称：SERIEs: Journal of the Spanish Economic Association
印刷版ISSN：1869-4187
电子版ISSN：1869-4195
出版年度：2016
卷号：7
期号：1
页码：179-201
DOI：10.1007/s13209-015-0131-4
出版社：Springer Berlin / Heidelberg
摘要：The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities. We show that, as expected, one isolated big outlier biases the sample cross-correlations towards zero and hence could hide true leverage effect. Unlike, the presence of two or more big consecutive outliers could lead to detecting spurious asymmetries or asymmetries of the wrong sign. We also address the problem of robust estimation of the cross-correlations by extending some popular robust estimators of pairwise correlations and autocorrelations. Their finite sample resistance against outliers is compared through Monte Carlo experiments. Situations with isolated and patchy outliers of different sizes are examined. It is shown that a modified Ramsay-weighted estimator of the cross-correlations outperforms other estimators in identifying asymmetric conditionally heteroscedastic models. Finally, the results are illustrated with an empirical application.
