Detecting outliers in GARCH(p,q) models

DOI10.1080/03610918.2016.1255964zbMath1462.62538OpenAlexW2549277695MaRDI QIDQ3133053

H. Kamranfar, Behzad Mansouri, Rahim Chinipardaz

Publication date: 12 February 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1255964

zbMATH Keywords

simulationadditive outliersGARCH modelinnovational outlierstemporary changelevel change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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