Slope influence diagnostics in conditional heteroscedastic time series models

DOI10.1214/13-BJPS227zbMath1329.62386MaRDI QIDQ481421

Luiz Koodi Hotta, Mauricio Zevallos

Publication date: 12 December 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1414674774

zbMATH Keywords

outliersGARCHlocal influence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items

A note on influence diagnostics in AR(1) time series models ⋮ Influential observations in GARCH models

Uses Software

• StFinMetrics

Cites Work

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• A note on influence diagnostics in AR(1) time series models
• Generalized autoregressive conditional heteroscedasticity
• Outliers and GARCH models in financial data
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modeling Financial Time Series with S-PLUS®
• A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
• Local influence: a new approach
• Extremes and local dependence in stationary sequences
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
• Influential observations in GARCH models

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