Outliers And Structural Breaks Detection In Autoregressive Model By Indicator Saturation Approach

The indicator saturation approach is one of the latest methods in the literature that Can detect both the outlier and structural break dates simultaneously in a financial time series data. As the approach applied general-to-specific modelling in identifying the most significant indicators, gets pac...

Full description

Bibliographic Details
Main Author: Mohammad Nasir, Muhammad Azim
Format: Thesis
Language:English
Published: 2020
Subjects:
Online Access:http://eprints.usm.my/52558/1/Pages%20from%20Final%20Thesis%20Muhammad%20Azim%20Mohammad%20Nasir.pdf