Specification error caused by level shifts and temporary changes in ARMA–GARCH models (Q3543756): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/00949650701384147 / rank | |||
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| Property / OpenAlex ID: W1968706495 / rank | |||
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| Property / cites work: Modeling volatility persistence of speculative returns: a new approach / rank | |||
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| Property / cites work: Testing for ARCH in the presence of a possibly misspecified conditional mean / rank | |||
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| Property / cites work: Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models / rank | |||
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| Property / cites work: Q2906620 / rank | |||
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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)
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4 December 2008
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ARMA-GARCH models
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level shift
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temporary change
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level outlier
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volatility outlier
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Lagrange multiplier test
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kurtosis
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asymmetry
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specification error
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