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On diagnostics in conditionally heteroskedastic time series models under elloptical distributions

Liu, Shuangzhe


In statistical diagnostics and sensitivity analysis, the local influence method plays an important role. In the present paper, we use this method to study financial time series data and conditionally heteroskedastic models under elliptical distributions.

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
Source: Journal of Applied Probability


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