Detecting level shifts in ARMA-GARCH (1,1) Models (Q3184487): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1080/02664760802499303 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2012912589 / rank | |||
Normal rank |
Revision as of 23:42, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Detecting level shifts in ARMA-GARCH (1,1) Models |
scientific article |
Statements
Detecting level shifts in ARMA-GARCH (1,1) Models (English)
0 references
21 October 2009
0 references
level outliers
0 references
volatility outliers
0 references
level shifts
0 references
GARCH models
0 references
LM tests
0 references