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Powers, Michael R. - In: Journal of Risk Finance 10 (2009) November, pp. 417-421
statistical observations, may be formulated in the language of conventional statistical estimation. However, its unique concept of … literature itself has benefited from the rigorous statistical treatment of the credibility problem by conventional estimation …
Persistent link: https://www.econbiz.de/10010610654
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Combining information about … combining information
Powers, Michael R. - In: Journal of Risk Finance 9 (2008) November, pp. 417-421
statistical observations, may be formulated in the language of conventional statistical estimation. However, its unique concept of … literature itself has benefited from the rigorous statistical treatment of the credibility problem by conventional estimation …
Persistent link: https://www.econbiz.de/10004966315
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Financial applications of ARMA models with GARCH errors
Ghahramani, M.; Thavaneswaran, A. - In: Journal of Risk Finance 7 (2006) November, pp. 525-543
Purpose – Financial returns are often modeled as stationary time series with innovations having heteroscedastic conditional variances. This paper seeks to derive the kurtosis of stationary processes with GARCH errors. The problem of hypothesis testing for stationary ARMA(p, q) processes with...
Persistent link: https://www.econbiz.de/10005002456