Specification error caused by level shifts and temporary changes in ARMA–GARCH models (Q3543756): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/00949650701384147 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1968706495 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Modeling volatility persistence of speculative returns: a new approach / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Testing for ARCH in the presence of a possibly misspecified conditional mean / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q2906620 / rank | |||
Normal rank | |||
Latest revision as of 21:04, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Specification error caused by level shifts and temporary changes in ARMA–GARCH models |
scientific article |
Statements
Specification error caused by level shifts and temporary changes in ARMA–GARCH models (English)
0 references
4 December 2008
0 references
ARMA-GARCH models
0 references
level shift
0 references
temporary change
0 references
level outlier
0 references
volatility outlier
0 references
Lagrange multiplier test
0 references
kurtosis
0 references
asymmetry
0 references
specification error
0 references
0 references
