Detecting outliers in GARCH(p,q) models

DOI10.1080/03610918.2016.1255964MaRDI QIDQ3133053zbMATHOpenAlexFDO

Authors H. Kamranfar, Rahim Chinipardaz, Behzad Mansouri

Publication date 12 February 2018

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2016.1255964

zbMATH Keywords

simulationGARCH modeladditive outliersinnovational outlierstemporary changelevel change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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