On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
2004 ◽
Vol 41
(A)
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pp. 393-405
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Keyword(s):
In statistical diagnostics and sensitivity analysis, the local influence method plays an important rôle. In the present paper, we use this method to study financial time series data and conditionally heteroskedastic models under elliptical distributions. We start with a likelihood displacement, and consider data- and model-perturbation schemes. We obtain corresponding matrices of derivatives, and measures of slope and normal curvature, and then discuss the assessment of local influence.
2004 ◽
Vol 41
(A)
◽
pp. 393-405
◽
Keyword(s):
2012 ◽
Vol 2012
◽
pp. 1-21
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2005 ◽
Vol 50
(01)
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pp. 1-8
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Keyword(s):
2011 ◽
Vol 390
(11)
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pp. 2067-2073
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Keyword(s):
Keyword(s):
2015 ◽
Vol 4
(2)
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pp. 134
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Keyword(s):
Keyword(s):