Assessment of Local Influence in GARCH Processes

DOI10.1046/J.0143-9782.2003.00351.XMaRDI QIDQ4828183zbMATH OpenOpenAlexFDO

Authors Xibin Zhang

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1046/j.0143-9782.2003.00351.x

zbMATH Keywords

pseudo-likelihoodlocal influenceGARCH processesLagrange multilier test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Influential observations in GARCH models
• Influence diagnostics for multivariate GARCH processes
• Local influence of stochastic volatility models
• Local influence analysis for GMM estimation
• GARCH processes: structure and estimation
• Testing for local covariate trend effects in volatility models
• On Efficient Inference in GARCH Processes
• Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model

Cites work

• scientific article; zbMATH DE number 3899977 (Why is no real title available?)
• scientific article; zbMATH DE number 472984 (Why is no real title available?)
• A Lagrange multiplier test for GARCH models
• Generalized autoregressive conditional heteroscedasticity

Cited in

(12)

• Local influence in time series analysis
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
• Influence in stochastic volatility models
• Influence diagnostics for multivariate GARCH processes
• A robust closed-form estimator for the GARCH(1,1) model
• Influential observations in GARCH models
• A note on influence diagnostics in AR(1) time series models
• Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
• Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
• Influence diagnostics in log-linear integer-valued GARCH models
• Wavelet-based detection of outliers in financial time series
• Stepwise local influence in generalized autoregressive conditional heteroskedasticity models

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