Diagnostic analytics for a GARCH model under skew-normal distributions

Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets

(2022) Geert Dhaene et al.   JOURNAL OF FUTURES MARKETS

Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic

(2021) Yonghui Liu et al.   JOURNAL OF APPLIED STATISTICS

Estimation and diagnostic for partially linear models with first-order autoregressive skew-normal errors

(2021) Clécio da Silva Ferreira et al.   COMPUTATIONAL STATISTICS

Risk management of Bitcoin futures with GARCH models

(2021) Zi-Yi Guo   Finance Research Letters

Matrix differential calculus with applications in the multivariate linear model and its diagnostics

(2021) Shuangzhe Liu et al.   JOURNAL OF MULTIVARIATE ANALYSIS

An overview on the progeny of the skew-normal family— A personal perspective

(2021) Adelchi Azzalini   JOURNAL OF MULTIVARIATE ANALYSIS

Fitting Vast Dimensional Time-Varying Covariance Models

(2020) Cavit Pakel et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution

(2020) Yonghui Liu et al.   Mathematics

Diagnostic analysis for a vector autoregressive model under Student ′ s t -distributions

(2016) Yonghui Liu et al.   STATISTICA NEERLANDICA

Fourier-type estimation of the power GARCH model with stable-Paretian innovations

(2015) Christian Francq et al.   METRIKA

Local influence analysis for Poisson autoregression with an application to stock transaction data

(2015) Fukang Zhu et al.   STATISTICA NEERLANDICA

Influence diagnostic analysis in the possibly heteroskedastic linear model with exact restrictions

(2015) Shuangzhe Liu et al.   Statistical Methods and Applications

Influence diagnostics in log-linear integer-valued GARCH models

(2014) Fukang Zhu et al.   AStA-Advances in Statistical Analysis

Stepwise local influence in generalized autoregressive conditional heteroskedasticity models

(2014) Lei Shi et al.   JOURNAL OF APPLIED STATISTICS

Influence diagnostics in a vector autoregressive model

(2014) Yonghui Liu et al.   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

Statistical diagnostics for nonlinear regression models based on scale mixtures of skew-normal distributions

(2013) Aldo M. Garay et al.   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

Diagnostics on nonlinear model with scale mixtures of skew-normal and first-order autoregressive errors

(2013) Chun-Zheng Cao et al.   STATISTICS

Outlier Detection in Time Series Models Using Local Influence Method

(2012) Jun Lu et al.   COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?

(2012) Martin Eling   INSURANCE MATHEMATICS & ECONOMICS

Robust statistical modeling using the Birnbaum-Saunders-t distribution applied to insurance

(2011) Gilberto A. Paula et al.   APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

Influential observations in GARCH models

(2011) Mauricio Zevallos et al.   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

Stepwise local influence analysis

(2010) Lei Shi et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Local influence analysis for regression models with scale mixtures of skew-normal distributions

(2010) C. B. Zeller et al.   JOURNAL OF APPLIED STATISTICS

Inference and local influence assessment in skew-normal null intercept measurement error model

(2008) V. H. Lachos et al.   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

(2008) Shuangzhe Liu et al.   MATHEMATICS AND COMPUTERS IN SIMULATION

A nonlinear regression model with skew-normal errors

(2008) Vicente G. Cancho et al.   STATISTICAL PAPERS