Analysis of economic time series: Effects of extremal observations on testing heteroscedastic components

Applied Stochastic Models in Business and Industry

Volumn 20, Issue 2, 2004, Pages 115-130

  Grossi, Luigi ^a   Laurini, Fabrizio ^b  

^a UNIVERSITY OF PARMA   (Italy)

^b UNIVERSITY OF PADOVA   (Italy)

Author keywords

Forward search; GARCH models; Influential observations; Lagrange multiplier test

Indexed keywords

ECONOMICS; KALMAN FILTERING; LAGRANGE MULTIPLIERS; MONTE CARLO METHODS; PARAMETER ESTIMATION; POLYNOMIALS; REGRESSION ANALYSIS;

EXTREMAL OBSERVATION; GARCH COMPONENT; HETEROSCEDASTIC COMPONENTS; INFLUENTIAL OBSERVATION;

RANDOM PROCESSES;

EID: 2542440733     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.508     Document Type: Article

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