Anthropogenic influences on atmospheric CO2

Economies are buffeted by natural shocks, wars, policy changes, and other unanticipated events. Observed data can be subject to substantial revisions. Consequently, a 'correct' theory can manifest serious mis-specification if just fitted to data ignoring its time-series characteristics. Modelling US expenditure on food, the simplest theory implementation fails to describe the evidence. Embedding that theory in a general framework with dynamics, outliers and structural breaks, using impulseindicator saturation, the selected model performs well, despite commencing with more variables than observations (see Doornik, 2009b), producing useful robust forecasts. Although this illustration involves a simple theory, the implications are generic and apply to sophisticated theories. JEL classifications: C51, C22.

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Detection of Outliers in the Volatility of Malaysia Shariah Compliant Index Return: The Impulse Indicator Saturation Approach

Nasir¹,

Ismail²

2020

ASMSJ

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Financial time series data often affected by various unexpected events which known as the outliers. The aim of this study is to detect the outliers in high frequency data using Impulse Indicator Saturation approach (IIS).Monte Carlo simulations illustrate the ability of IIS to detect outliers by using data with various simulation settings. For empirical application, we have chosen the Malaysia Shariah compliant index which is the FBM EMAS Shariah (FBMS) index. The result of this study discovered the presence of 47 outliers which related to several global events such as global financial crisis (2008 & 2009), the falling of stock market (2011), the United States debt-ceiling crisis (2013) and the declination of international crude oil prices (2014). Keywords: outliers; volatility; stock indices; IIS

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Anthropogenic influences on atmospheric CO2

Cited by 4 publications

References 38 publications

Discussion of the paper “Deciding between alternative approaches in macroeconomics”

Discussion of the paper “Deciding between alternative approaches in macroeconomics”

Econometric Modelling of Time Series with Outlying Observations

Detection of Outliers in the Volatility of Malaysia Shariah Compliant Index Return: The Impulse Indicator Saturation Approach

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