Analysis of economic time series: effects of extremal observations on testing heteroscedastic components

Grossi, Luigi, Laurini, Fabrizio . Applied Stochastic Models in Business and Industry 2004. 20 (2) :115-130

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Bibtex

@article{CIS-222574,
  Author = {Grossi, Luigi and Laurini, Fabrizio},
  Title = {Analysis of economic time series: effects of extremal observations on testing heteroscedastic components},
  Journal = {Applied Stochastic Models in Business and Industry},
  Volume = {20},
  Number = {2},
  Year = {2004},
  Pages = {115--130},
  Keywords = {Influential observations, Lagrange multiplier test, GARCH models, Forward search}
}

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