This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the residuals from the estimated ARMA model, it is shown...

Purpose To study the determinants and evolution of the trading activity in the Colombian Stock Market from 2007 to 2016. Design/methodology/approach ARMA time series models were used, including several explanatory variables recommended by previous literature. Findings We find that stock market...

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

The rainfall runoff (R-R) process was studied for two small sub-basins having different sizes in a mountainous catchment of Tono area Japan. The runoff and other meterological data have been collected in this catchment for the last 14 years. The major objective of this study was to construct...