The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small....

This paper investigates the problem of assessing local influence of small perturbations in GARCH processes. First, we examine the local influence on the Lagrange multiplier (LM) statistic. Second, we assess the local influence on the pseudo-likelihood of the GARCH model. We find that short...

This article presents diagnostics for identifying influential observations when estimating multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models. We derive influence diagnostics by introducing minor perturbations to the conditional variances and covariances. The...