Influential observations in GARCH models

DOI10.1080/00949655.2011.583651zbMath1431.62428MaRDI 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

sensitivity; local influence; volatility; Student-\(t\); NYSE

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

62J20: Diagnostics, and linear inference and regression

Related Items

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