Brazilian Journal of Probability and Statistics

Slope influence diagnostics in conditional heteroscedastic time series models

Mauricio Zevallos and Luiz Koodi Hotta

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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.

Article information

Braz. J. Probab. Stat., Volume 29, Number 1 (2015), 34-52.

First available in Project Euclid: 30 October 2014

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GARCH local influence outliers


Zevallos, Mauricio; Hotta, Luiz Koodi. Slope influence diagnostics in conditional heteroscedastic time series models. Braz. J. Probab. Stat. 29 (2015), no. 1, 34--52. doi:10.1214/13-BJPS227.

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