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Chumacero, Rómulo A. - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2

inference, when applied to estimating stationary ARMA models. Issues such as identification, model selection, and testing are … experiments for both invertible and noninvertible ARMA models. …

Persistent link: https://www.econbiz.de/10014620845

Measuring the impact of natural disasters on capital markets: An empirical application using intervention analysis

Worthington, Andrew C.; Valadkhani, Abbas - 2004

an insured loss in excess of AUD5 mil. and/or total loss in excess of AUD100 mil. Autoregressive moving average (ARMA …

Persistent link: https://www.econbiz.de/10009437448

How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast

Liu, Lin; Chen, Qiguang - In: Financial Innovation 6 (2020) 1, pp. 1-21

the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and …

Persistent link: https://www.econbiz.de/10012602871

Simultaneous indirect inference, impulse responses and ARMA models

Khalaf, Lynda; Peraza López, Beatriz - In: Econometrics 8 (2020) 2, pp. 1-26

Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples. Resulting objective functions …

Persistent link: https://www.econbiz.de/10012696275

Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?

Zarafat, Hashem; Liebhardt, Sascha; Eratalay, Mustafa Hakan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-32

It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data, ESG ratings, and solvency ratios of the constituent...

Persistent link: https://www.econbiz.de/10014332521

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity

Meitz, Mika; Saikkonen, Pentti - 2012

We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally …/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …

Persistent link: https://www.econbiz.de/10010500222