Detecting outliers in GARCH\((p,q)\) models (Q3133053)
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scientific article; zbMATH DE number 6837393
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| English | Detecting outliers in GARCH\((p,q)\) models |
scientific article; zbMATH DE number 6837393 |
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Detecting outliers in GARCH(p,q) models (English)
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12 February 2018
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additive outliers
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GARCH model
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innovational outliers
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level change
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simulation
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temporary change
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0.8308478593826294
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0.8232742547988892
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0.798996090888977
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0.7726662158966064
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