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Reliability of the automatic identification of ARIMA models in program TRAMO

Maravall Herrero, Agustín; López-Pavón, Roberto; … - In: Empirical economic and financial research : theory, …, (pp. 105-122). 2015

Persistent link: https://www.econbiz.de/10010490152

The algebraic structure of transformed time series

McElroy, Tucker; Pang, Osbert - In: Empirical economic and financial research : theory, …, (pp. 89-104). 2015

Persistent link: https://www.econbiz.de/10010490160

An alternative solution to the Autoregressivity Paradox in time series analysis

Cubadda, Gianluca; Triacca, Umberto - In: Economic modelling 28 (2011) 3, pp. 1451-1454

Persistent link: https://www.econbiz.de/10009272065

A generalized exponential time series regression model for electricity prices

Haldrup, Niels; Knapik, O.; Proietti, Tommaso - 2016

Persistent link: https://www.econbiz.de/10011447820

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