Detection of outliers in the volatility of Malaysia shariah compliant index return: The impulse indicator saturation approach
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 us...
| Published in: | ASM Science Journal |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Akademi Sains Malaysia
2020
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85087351526&doi=10.32802%2fasmscj.2020.sm26%281.7%29&partnerID=40&md5=615550441de7ac42d7620b2c8ea3301b |