Influence diagnostics for multivariate GARCH processes

DOI10.1111/J.1467-9892.2010.00662.XMaRDI QIDQ3103184zbMATH OpenOpenAlexFDO

Authors Jonathan Graeme Dark, Xibin Zhang, Nan Qu

Publication date 26 November 2011

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00662.x

zbMATH Keywords

curvature-based diagnosticmodified likelihood displacementperturbationslope-based diagnostictime-varying betatime-varying correlation

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A test for constant correlations in a multivariate GARCH model
• Analytical quasi maximum likelihood inference in multivariate volatility models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Assessment of Local Influence in GARCH Processes
• Asymptotic theory for multivariate GARCH processes.
• Detecting shocks: Outliers and breaks in time series
• Fast Very Robust Methods for the Detection of Multiple Outliers
• scientific article; zbMATH DE number 3984329 (Why is no real title available?)
• scientific article; zbMATH DE number 472984 (Why is no real title available?)
• scientific article; zbMATH DE number 720681 (Why is no real title available?)
• Local influence: a new approach
• Masking unmasked
• Outliers and GARCH models in financial data
• Outliers in GARCH processes

Cited in

(10)

• Influence diagnostics in log-linear integer-valued GARCH models
• Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
• A note on influence diagnostics in AR(1) time series models
• Assessment of Local Influence in GARCH Processes
• Influential observations in GARCH models
• scientific article; zbMATH DE number 1398574 (Why is no real title available?)
• Stepwise local influence in generalized autoregressive conditional heteroskedasticity models
• Influence diagnostics in a vector autoregressive model
• Diagnostic analytics for a GARCH model under skew-normal distributions
• Bayesian influence diagnostics for a multivariate GARCH model

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