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Kurtosis maximization for outlier detection in GARCH models. (English) Zbl 1397.62314

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4–6, 2018. Cham: Springer (ISBN 978-3-319-89823-0/hbk; 978-3-319-89824-7/ebook). 455-459 (2018).
MSC:  62M10 62P20
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