On diagnostics in conditionally heteroskedastic time series models under elloptical distributions
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.
|Collections||ANU Research Publications|
|Source:||Journal of Applied Probability|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.