Specification error caused by level shifts and temporary changes in ARMA-GARCH models

By Trivez F. Javier   Catalan Beatriz  

Journal of Statistical Computation and Simulation, Vol. 78, Iss. 9, 2008-01 ,pp. : 853-868

Taylor & Francis Ltd

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Effects of level shifts and temporary changes on the estimation of GARCH models

By Trivez F. Javier   Catalan Beatriz  

Journal of Statistical Computation and Simulation, Vol. 80, Iss. 6, 2010-06 ,pp. : 667-688

Taylor & Francis Ltd

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Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns

By Hossain Altaf  

Journal of Applied Statistics, Vol. 38, Iss. 3, 2011-03 ,pp. : 533-551

Taylor & Francis Ltd

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Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models

By Boscher Hans   Fronk Eva-Maria   Pigeot Iris  

Statistical Papers, Vol. 41, Iss. 4, 2000-10 ,pp. : 409-422

Springer Publishing Company

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Influential observations in GARCH models

By Zevallos Mauricio   Hotta Luiz K.  

Journal of Statistical Computation and Simulation, Vol. 82, Iss. 11, 2012-11 ,pp. : 1571-1589

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