Influence diagnostics in log-linear integer-valued GARCH models
DOI10.1007/S10182-014-0242-4zbMATH Open1443.62296OpenAlexW1972233773MaRDI QIDQ1621988FDOQ1621988
Authors: Fukang Zhu, Lei Shi, Shuangzhe Liu 
Publication date: 12 November 2018
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-014-0242-4
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Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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Cited In (16)
- Doubly-inflated Poisson INGARCH models for count time series
- Robust autoregressive modeling and its diagnostic analytics with a COVID-19 related application
- Influence of deterministic trend on the estimated parameters of GARCH(1,1) model
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Self-excited hysteretic negative binomial autoregression
- Softplus INGARCH Model
- A generalized mixture integer-valued GARCH model
- Periodic negative binomial INGARCH(1, 1) model
- Robust closed-form estimators for the integer-valued GARCH(1,1) model
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
- Local influence analysis for Poisson autoregression with an application to stock transaction data
- Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
- Comparison of BINAR(1) models with bivariate negative binomial innovations and explanatory variables
- Bayesian local influence for spatial autoregressive models with heteroscedasticity
- Binomial AR(1) processes with innovational outliers
- Local influence analysis in general spatial models
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