Influence diagnostics for multivariate GARCH processes (Q3103184): Difference between revisions

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Revision as of 16:18, 4 July 2024

scientific article
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Influence diagnostics for multivariate GARCH processes
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    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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