Specification error caused by level shifts and temporary changes in ARMA–GARCH models (Q3543756)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Specification error caused by level shifts and temporary changes in ARMA–GARCH models |
scientific article |
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Specification error caused by level shifts and temporary changes in ARMA–GARCH models (English)
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4 December 2008
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ARMA-GARCH models
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level shift
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temporary change
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level outlier
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volatility outlier
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Lagrange multiplier test
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kurtosis
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asymmetry
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specification error
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