On diagnostics in conditionally heteroskedastic time series models under elloptical distributions

Liu, Shuangzhe2015-12-132015-12-130021-9002http://hdl.handle.net/1885/78808In 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.Keywords: Likelihood displacement; Matrices of derivatives; Matrix differential; Observed information matrix; Statistical diagnosticsOn diagnostics in conditionally heteroskedastic time series models under elloptical distributions20042015-12-11