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Asymptotic solutions for a multi-anticipative car-following model

Wagner, Christoph - In: Physica A: Statistical Mechanics and its Applications 260 (1998) 1, pp. 218-224

Using a long wave expansion we study the asymptotic solutions near a critical point of a multi-anticipative car-following model. A suitable rescaling of the variables then yields a modified Korteweg–de Vries (MKdV) equation with higher order corrections. An equation of this general form has...

Persistent link: https://www.econbiz.de/10010873049

Conditional independence graph for nonlinear time series and its application to international financial markets

Gao, Wei; Zhao, Hongxia - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 10, pp. 2460-2469

Conditional independence graphs are proposed for describing the dependence structure of multivariate nonlinear time series, which extend the graphical modeling approach based on partial correlation. The vertexes represent the components of a multivariate time series and edges denote direct...

Persistent link: https://www.econbiz.de/10010662566

Relative complexity changes in time series using information measures

Torres, M.E.; Gamero, L.G. - In: Physica A: Statistical Mechanics and its Applications 286 (2000) 3, pp. 457-473

Estimation of complexity is of great interest in nonlinear signal and system analysis. Several complexity measures have been proposed: Lyapunov exponents, Lempel and Ziv, approximate entropy. In the present study, complexity measures derived from Shannon entropy,...

Persistent link: https://www.econbiz.de/10011059837

Metric adaption for analog forecasting

Fraedrich, Klaus; Rückert, Bernd - In: Physica A: Statistical Mechanics and its Applications 253 (1998) 1, pp. 379-393

The performance of analog forecasts is sensitive to the selection procedure of analogs from the history of observed time series. A method is presented to iteratively reduce a user-defined forecast error measure by adapting suitable metric weights for the components of the reconstructed states to...

Persistent link: https://www.econbiz.de/10011064352

The impact of GARCH on asymmetric unit root tests

Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 745-752

unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is …–Fuller unit root test when applied to series exhibiting GARCH. Importantly, it is found that the use of consistent … the GARCH model. The relevance of the simulation analysis conducted is supported by GARCH modelling of the term structure …

Persistent link: https://www.econbiz.de/10010873045

Internet information arrival and volatility of SME PRICE INDEX

Zhang, Yongjie; Feng, Lina; Jin, Xi; Shen, Dehua; … - In: Physica A: Statistical Mechanics and its Applications 399 (2014) C, pp. 70-74

proxy is incorporated into the conditional variance equation of the GARCH model. Some tentative explanations are also given … to expound the non-disappeared GARCH effects. …

Persistent link: https://www.econbiz.de/10010873943

Nonlinear GARCH model and 1/f noise

Kononovicius, A.; Ruseckas, J. - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 74-81

interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear modifications … GARCH processes in consideration. We find the obtained equations to be similar to a general class of stochastic differential … equations known to reproduce power law statistics. We show that linear GARCH(1,1) process has power law distribution, but its …

Persistent link: https://www.econbiz.de/10011209648

Financial time series modeling using the Hurst exponent

Tzouras, Spilios; Anagnostopoulos, Christoforos; McCoy, Emma - In: Physica A: Statistical Mechanics and its Applications 425 (2015) C, pp. 50-68

This study aims to enhance the understanding of logarithmic asset returns. In particular, more emphasis is given to the long memory property of financial returns, a well documented stylized fact. However, in the presence of structural breaks other studies suggest that statistical tools such as...

Persistent link: https://www.econbiz.de/10011209656

Testing for rational bubbles in banking indices

Cajueiro, Daniel O.; Tabak, Benjamin M. - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 365-376

countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root …

Persistent link: https://www.econbiz.de/10010871958

Financial volatility: Issues and measuring techniques

Daly, Kevin - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2377-2393

spawned an ever increasing variety of models such as GARCH, EGARCH, NARCH, ARCH-M MARCH and the Taylor–Schwert model. The …

Persistent link: https://www.econbiz.de/10010872571