Influential observations in GARCH models

DOI10.1080/00949655.2011.583651zbMath1431.62428OpenAlexW2034515787MaRDI QIDQ4925438

Mauricio Zevallos, Luiz Koodi Hotta

Publication date: 12 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.583651

zbMATH Keywords

sensitivitylocal influencevolatilityStudent-\(t\)NYSE

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diagnostics, and linear inference and regression (62J20)

Related Items (3)

Influence diagnostics in log-linear integer-valued GARCH models ⋮ A note on influence diagnostics in AR(1) time series models ⋮ Slope influence diagnostics in conditional heteroscedastic time series models

Cites Work

• Slope influence diagnostics in conditional heteroscedastic time series models
• Influence diagnostics for linear models with first-order autoregressive elliptical errors
• Assessing local influence in linear regression models with first-order autoregressive or heteroscedastic error structure
• Diagnostics for Autocorrelated Regression Models
• Local influence: a new approach
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
• Assessment of Local Influence in GARCH Processes

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