Kurtosis Maximization for Outlier Detection in GARCH Models
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Publication:4689056
DOI10.1007/978-3-319-89824-7_81zbMath1397.62314OpenAlexW2883582700MaRDI QIDQ4689056
Publication date: 12 October 2018
Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_81
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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