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Outlier Detection in GARCH Models

Jurgen A Doornik is Research Fellow at Nuffield College, University of Oxford.
Event information
Date 30 October 2010
Time 13:00-14:00 (Timezone: Europe/London)
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

He researches on computational econometrics and dynamic econometric modelling, as well as ARFIMA and GARCH models. He is the originator of the Ox language, and works with David Hendry on PcGive. He has (co-)authored eight books related to the software. He published papers in The Economic Journal, The Econometrics Journal, and others, and has papers forthcoming in Computational Statistics and Data Analysis, and Econometrica.