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Volumn 25, Issue 2, 2004, Pages 301-313

Assessment of local influence in GARCH processes

Author keywords

GARCH models; Lagrange multiplier test; Local influence; Pseudo likelihood

Indexed keywords

EID: 1642634057 PISSN: 01439782 EISSN: None Source Type: Journal
DOI: 10.1046/j.0143-9782.2003.00351.x Document Type: Article

Times cited : (12)

References (12)

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2
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- Assessment of local influence
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4
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5
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- Small sample properties of asymptotically equivalent tests for autoregressive conditional heteroscedasticity
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6
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- Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
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7
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8
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- Working Paper, Graduate School of Business, University of Chicago
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10
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- A locally most mean powerful based score test for ARCH and GARCH regression disturbances
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11
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- Testing for ARCH in the presence of additive outliers
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12
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- Second-order approach to local influence
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- Wu, X.¹ Luo, Z.²

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