Influence Diagnostics in GARCH Processes
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References listed on IDEAS
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More about this item
KeywordsNormal curvature; modified likelihood displacement; GARCH models.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-17 (All new papers)
- NEP-ECM-2002-12-18 (Econometrics)
- NEP-ETS-2002-12-17 (Econometric Time Series)
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