Assessment of Local Influence in GARCH Processes

DOI10.1046/j.0143-9782.2003.00351.xzbMath1051.62092OpenAlexW3122579350MaRDI QIDQ4828183

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

zbMATH Keywords

local influencepseudo-likelihoodGARCH processesLagrange multilier test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

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 ⋮ Stepwise local influence in generalized autoregressive conditional heteroskedasticity models ⋮ Wavelet-based detection of outliers in financial time series ⋮ A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity ⋮ Influential observations in GARCH models ⋮ A robust closed-form estimator for the GARCH(1,1) model ⋮ Influence diagnostics for multivariate GARCH processes

Cites Work

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• A Lagrange multiplier test for GARCH models
• Generalized autoregressive conditional heteroscedasticity

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