Detecting level shifts in ARMA-GARCH (1,1) Models (Q3184487)

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Detecting level shifts in ARMA-GARCH (1,1) Models
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    title
    Detecting level shifts in ARMA-GARCH (1,1) Models (English)
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    author
    F. Javier Trívez
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    Beatriz Catalán
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    publication date
    21 October 2009
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    Mathematics Subject Classification ID
    62M10
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    62F03
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    62P05
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    zbMATH DE Number
    5618942
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    zbMATH Keywords
    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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    OpenAlex ID
    W2012912589
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