Influence in stochastic volatility models

MaRDI QIDQ2910559zbMATH OpenFDO

Authors Anderson C. O. Motta, Luiz Koodi Hotta

Publication date 11 September 2012

Published in Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL http://www.pphmj.com/abstract/6740.htm

zbMATH Keywords

influence in stochastic volatility modelsinfluential observationsinfluential observations in SV modelsoutliers in stochastic volatility models

Mathematics Subject Classification ID

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

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