Influential observations in GARCH models

DOI10.1080/00949655.2011.583651MaRDI QIDQ4925438zbMATH OpenOpenAlexFDO

Authors Mauricio Zevallos, Luiz Koodi Hotta

Publication date 12 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.583651

zbMATH Keywords

local influenceNYSEsensitivityStudent-\(t\)volatility

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

• Assessing local influence in linear regression models with first-order autoregressive or heteroscedastic error structure
• Assessment of Local Influence in GARCH Processes
• Diagnostics for Autocorrelated Regression Models
• Influence diagnostics for linear models with first-order autoregressive elliptical errors
• Local influence: a new approach
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
• Slope influence diagnostics in conditional heteroscedastic time series models

Cited in

(16)

• Influence diagnostics in log-linear integer-valued GARCH models
• Influence in stochastic volatility models
• Influence of deterministic trend on the estimated parameters of GARCH(1,1) model
• Influence diagnostics for multivariate GARCH processes
• Local influence of stochastic volatility models
• A note on influence diagnostics in AR(1) time series models
• Analysis of economic time series: effects of extremal observations on testing heteroscedastic components
• Slope influence diagnostics in conditional heteroscedastic time series models
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
• Assessment of Local Influence in GARCH Processes
• Stepwise local influence in generalized autoregressive conditional heteroskedasticity models
• Local influence analysis for Poisson autoregression with an application to stock transaction data
• Diagnostic analysis for a vector autoregressive model under Student^′s t‐distributions
• Bayesian influential diagnostics in a GARCH model under skew-normal distributions
• Diagnostic analytics for a GARCH model under skew-normal distributions
• Local influence analysis in the softplus INGARCH model

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