Interventions in INGARCH processes

DOI10.1111/j.1467-9892.2010.00657.xzbMath1242.62095MaRDI QIDQ5391315

Konstantinos Fokianos, Roland Fried

Publication date: 6 April 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/26360

zbMATH Keywords

outliers; generalized linear models; GARCH models; INGARCH(p,q) models; parametric bootstrap, transient shift

Mathematics Subject Classification ID

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

62F40: Bootstrap, jackknife and other resampling methods

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Uses Software

• R

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