Learn More
Outliers have recently been studied more and more in the statistical time series literature, and this interest is also growing in econometrics. This papers reviews some of this literature. A general discussion of time series outliers, including definitions and possible adverse effects of them, is followed by chapters on outlier detection and modelling.(More)
The presence of long memory in Finnish stock market return data is tested using nonparametric methods. The data set has daily returns on six indices and forty companies. Depending on the testing method used, statistically significant long memory is detected in 24% to 67% of the series. This is considerably more than what is usually found in data of this(More)
The maximum-penalized-likelihood estimation for hidden Markov models with general observation densities is described. All statistical inference, including the model estimation, testing, and selection, is based on the restricted optimization of the penalized likelihood function with respect to the chosen model family. The method is used in an economic(More)
The presence of long memory is tested using Finnish stock market return data. The data set has daily returns on several indices and individual companies, and long memory tests are computed both for the returns and return volatilities of the series. It is found that statistically significant long memory can be found in approximately 35% of the return series,(More)
  • 1