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Type: Artigo de periódico
Title: Slope Influence Diagnostics In Conditional Heteroscedastic Time Series Models
Author: Zevallos M.
Hotta L.K.
Abstract: In this paper, we provide useful and simple expressions for slope influence diagnostics of several conditional heteroscedastic time series models under innovative model perturbations. These expressions are obtained by establishing a connection between the local influence and residual diagnostics. Monte Carlo experiments provided good results in terms of the size and power of the proposed statistics. To illustrate the results, we analyze the financial time series returns of the S&P500 and DJIA indexes.
Editor: Brazilian Statistical Association
Rights: fechado
Identifier DOI: 10.1214/13-BJPS227
Date Issue: 2015
Appears in Collections:Unicamp - Artigos e Outros Documentos

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