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Kamranfar et al., 2017 - Google Patents

Detecting outliers in garch (p, q) models

Kamranfar et al., 2017

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Document ID
11954983455635995935
Author
Kamranfar H
Chinipardaz R
Mansouri B
Publication year
Publication venue
Communications in Statistics-Simulation and Computation

External Links

Snippet

This article is concerned with the outliers in GARCH models. An iterative procedure is given for testing the presence of any type of the four common outliers. Since the distribution of test statistic cannot be obtained analytically, its distributional behavior is investigated via a …
Continue reading at www.researchgate.net (PDF) (other versions)

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