Appraisal of excess Kurtosis through outlier-modified GARCH-type models-Reference-Cited by-同舟云学术

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Appraisal of excess Kurtosis through outlier-modified GARCH-type models

Published:2021-03-13 Issue: Volume: Page:1-15
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Alphonsus Akpan Emmanuel¹²^ORCID,Lasisi Kazeem Etitayo¹^ORCID,Moffat Imoh Udo³^ORCID,Abasiekwere Ubon Akpan⁴^ORCID

Affiliation:

1. Department of Mathematical Science, Abubakar Tafawa Balewa University, Bauchi, Nigeria

2. Department of Basic Sciences, Federal School of Medical Laboratory Technology (Science), Jos, Plateau State, Nigeria

3. Department of Statistics, University of Uyo, Uyo, Akwa Ibom State, Nigeria

4. Department of Mathematics, University of Uyo, Uyo, Akwa Ibom State, Nigeria

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2021.1887225

Reference63 articles.

1. Stock return distribution in the BRICS

2. Application of Iterative Approaches in Modeling the Efficiency of ARIMA-GARCH Processes in the Presence of Outliers

3. Detection and Modeling of Asymmetric GARCH Effects in a Discrete-Time Series

4. An outlier-resistant test for heteroscedasticity in linear models

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