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Influence diagnostics in log-linear integer-valued GARCH models · Study

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ArticleInfluence diagnostics in log-linear integer-valued GARCH models

Fukang Zhu2014

Article2014

Influence diagnostics in log-linear integer-valued GARCH models

Fukang Zhu · Лей Ши · Shuangzhe Liu

29 citations·0/0 files stored·AStA Advances in Statistical Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Advanced Statistical Methods and Models

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References

2006Integer‐Valued GARCH Process 2019GARCH Models: Structure, Statistical Inference and Financial Applications 2010GARCH Models 2010A negative binomial integer-valued GARCH model 2011Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models 2011Zero-inflated Poisson and negative binomial integer-valued GARCH models 2010ARCH Models for Financial Applications 2009Diagnostic checking integer-valued ARCH models using conditional residual autocorrelations

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2017Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Modelsarticle · 5 shared references 2018CUSUM test for general nonlinear integer-valued GARCH models: comparison studyarticle · 4 shared references 2015Infinitely Divisible Distributions in Integer‐Valued Garch Modelsarticle · 4 shared references 2019Flexible bivariate Poisson integer-valued GARCH modelarticle · 4 shared references 2019Flexible and Robust Mixed Poisson INGARCH Modelsarticle · 4 shared references 2021Robust Estimation for Poisson Integer-Valued GARCH Models Using a New Hybrid Lossarticle · 4 shared references

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Year2014

Typearticle

Published2014-11-21

VenueAStA Advances in Statistical Analysis

ISSN-L1863-8171

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10182-014-0242-4

openalex_workW1972233773

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