Influence diagnostics for multivariate GARCH processes

DOI10.1111/j.1467-9892.2010.00662.xzbMath1416.62481OpenAlexW2145737537MaRDI QIDQ3103184

Nan Qu, Jonathan Graeme Dark, Xibin Zhang

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00662.x

zbMATH Keywords

perturbationtime-varying betatime-varying correlationcurvature-based diagnosticmodified likelihood displacementslope-based diagnostic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diagnostics, and linear inference and regression (62J20)

Related Items (4)

Influence diagnostics in log-linear integer-valued GARCH models ⋮ Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence ⋮ A note on influence diagnostics in AR(1) time series models ⋮ Influence diagnostics in a vector autoregressive model

Cites Work

• Analytical quasi maximum likelihood inference in multivariate volatility models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Detecting shocks: Outliers and breaks in time series
• A test for constant correlations in a multivariate GARCH model
• Asymptotic theory for multivariate GARCH processes.
• Outliers and GARCH models in financial data
• Local influence: a new approach
• Fast Very Robust Methods for the Detection of Multiple Outliers
• Masking unmasked
• Assessment of Local Influence in GARCH Processes
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