Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence

DOI10.1016/J.JKSS.2016.05.002MaRDI QIDQ334843zbMATH OpenOpenAlexFDO

Authors Hongxia Hao, Hongxia Wang, Xing-Fang Huang, Jinguan Lin

Publication date 1 November 2016

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2016.05.002

zbMATH Keywords

GARCH modelsKullback-Leibler divergenceBayesian case influence

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 96136 (Why is no real title available?)
• Assessment of Local Influence in GARCH Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian Case Influence Diagnostics for Survival Models
• Bayesian analysis of outlier problems using divergence measures
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian estimation of the Gaussian mixture GARCH model
• Bayesian inference on GARCH models using the Gibbs sampler
• Bayesian semiparametric multivariate GARCH modeling
• Generalized autoregressive conditional heteroscedasticity
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Influence diagnostics for multivariate GARCH processes
• Influence diagnostics in a vector autoregressive model
• Influence diagnostics in log-linear integer-valued GARCH models

Cited in

(1)

• Bayesian influence diagnostics using normalized functional Bregman divergence

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