Assessment of Local Influence in GARCH Processes
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Publication:4828183
DOI10.1046/J.0143-9782.2003.00351.XzbMATH Open1051.62092OpenAlexW3122579350MaRDI QIDQ4828183FDOQ4828183
Authors: Xibin Zhang 
Publication date: 24 November 2004
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1046/j.0143-9782.2003.00351.x
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Cites Work
Cited In (12)
- Local influence in time series analysis
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
- Influence in stochastic volatility models
- Influence diagnostics for multivariate GARCH processes
- A robust closed-form estimator for the GARCH(1,1) model
- Influential observations in GARCH models
- A note on influence diagnostics in AR(1) time series models
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
- Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
- Influence diagnostics in log-linear integer-valued GARCH models
- Wavelet-based detection of outliers in financial time series
- Stepwise local influence in generalized autoregressive conditional heteroskedasticity models
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