Detecting level shifts in ARMA-GARCH (1,1) models

Trivez, F. Javier, Catalan Beatriz, Trívez, F. Javier, Catalán Beatriz . Journal of Applied Statistics 2009. 36 (5--6) :679-697

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Bibtex

@article{CIS-236137,
  Author = {Trivez, F. Javier and Catalan Beatriz and Trívez, F. Javier and Catalán Beatriz},
  Title = {Detecting level shifts in ARMA-GARCH (1,1) models},
  Journal = {Journal of Applied Statistics},
  Volume = {36},
  Number = {5--6},
  Year = {2009},
  Pages = {679--697},
  Keywords = {GARCH models, LM tests, level outliers, volatility outliers}
}

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