Influence diagnostics for multivariate GARCH processes (Q3103184): Difference between revisions
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Revision as of 21:13, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Influence diagnostics for multivariate GARCH processes |
scientific article |
Statements
Influence diagnostics for multivariate GARCH processes (English)
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26 November 2011
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curvature-based diagnostic
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modified likelihood displacement
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perturbation
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slope-based diagnostic
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time-varying beta
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time-varying correlation
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