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Investigating chaos in the Nigerian Asset and Resource Management (ARM) discovery fund

Fuwape, Ibiyinka A.; Ogunjo, Samuel T. - In: CBN journal of applied statistics 4 (2013) 2, pp. 129-140

This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay...

Persistent link: https://www.econbiz.de/10011474696

Outlier detection in GARCH models

Doornik, Jurgen A.; Ooms, Marius - 2005

Persistent link: https://www.econbiz.de/10003204040

Outlier detection in GARCH models

Doornik, Jurgen A. (contributor); Ooms, Marius (contributor) - 2005

Persistent link: https://www.econbiz.de/10003228832

Bootstrapping unit root tests for autoregressive time series

Paparoditis, Efstathios; Politis, Dimitris N. - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 545-553

Persistent link: https://www.econbiz.de/10002929370

[Rezension von: Gourieroux, C., ..., Time series and dynamic models]

Jacobs, Jan - In: De economist : Netherlands economic review ; quarterly … 146 (1998) 4, pp. 646-647

Persistent link: https://www.econbiz.de/10001350229

An exponential continuous time GARCH process

Haug, Stefan (contributor); Czado, Claudia (contributor) - 2006

In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity and moment properties of the new model. An instantaneous leverage effect can be...

Persistent link: https://www.econbiz.de/10003365493

Another example of a non-linear time series with misleading linear properties

Byers, J. David; Peel, David - In: Applied economics letters 10 (2003) 1, pp. 47-51

Persistent link: https://www.econbiz.de/10001725693

Issues involved with the seasonal adjustment of economic time series

Bell, William R.; Hillmer, Steven C. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 98-127

Persistent link: https://www.econbiz.de/10001639887

[Rezension von: Gourieroux, Christian, ...,, Time series and dynamic models]

Gill, Len - In: The economic journal : the journal of the Royal … 109 (1999), pp. 221-223

Persistent link: https://www.econbiz.de/10001707751

Testing outliers in time series : an application to remotely sensed temperatures in cattle

Alba, Enrique de; Zartman, David L. - In: Analysing time series : proceedings of the …, (pp. 127-138). 1980

Persistent link: https://www.econbiz.de/10001813737