Detecting level shifts in ARMA-GARCH (1,1) Models (Q3184487): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting level shifts in ARMA-GARCH (1,1) Models |
scientific article |
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Detecting level shifts in ARMA-GARCH (1,1) Models (English)
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21 October 2009
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level outliers
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volatility outliers
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level shifts
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GARCH models
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LM tests
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