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Outlier detection in GARCH models
Doornik, Jurgen A.; Ooms, Marius - 2005
We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier …
Persistent link: https://www.econbiz.de/10011346470
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Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126
Persistent link: https://www.econbiz.de/10010224748
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Robust measures of skewness and kurtosis for macroeconomic and financial time series
Bastianin, Andrea - In: Applied economics 52 (2020) 7, pp. 637-670
Persistent link: https://www.econbiz.de/10012197454
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Does trade openness matter for economic growth in Niger?
Aboubacar, Badamassi; Xu, Deyi; Ousseini, Amadou Maiga - In: Theoretical economics letters 4 (2014) 9, pp. 916-927
Persistent link: https://www.econbiz.de/10010532224
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Cointegration, error correction and exchange rate forecasting
Moosa, Imad A.; Vaz, John J. - In: Journal of international financial markets, … 44 (2016), pp. 21-34
Persistent link: https://www.econbiz.de/10011690363
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An automatic leading indicator based growth forecast for 2016-17 and the outlook beyond
Chakravarti, Parma; Mundle, Sudipto - 2017
Persistent link: https://www.econbiz.de/10011691547
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Adaptive trees : a new approach to economic forecasting
Woloszko, Nicolas - 2020
forecasting. Economic forecasting is made difficult by economic complexity, which implies non-linearities (multiple interactions … the algorithm in forecasting GDP growth 3- to 12-months ahead is assessed through simulations in pseudo-real-time for six …
Persistent link: https://www.econbiz.de/10012203223
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Smooth threshold autoregressive models and Markov process : an application to the Lebanese GDP growth rate
Verne, Jean-François - In: International econometric review 13 (2021) 3, pp. 71-88
This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970- 2019 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP...
Persistent link: https://www.econbiz.de/10012816175
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Income inequality and agglomeration economies : a case of a developing economy
Iqbal, Asim; Hassaan, Mohammad; Mahmood, Haider - In: International journal of economics and business research 15 (2018) 2, pp. 257-271
Persistent link: https://www.econbiz.de/10011862105
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Outliers and influence points in German business cycles
Zucknick, Manuela; Weihs, Claus; Garczarek, Ursula - 2002
multivariate outliers as well as influence points corresponding to Linear Discriminant Analysis. The locations of the corresponding …
Persistent link: https://www.econbiz.de/10009770532