Temat: time models - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models
Autorzy:: Triacca, Umberto
Powiązania:: https://bibliotekanauki.pl/articles/483247.pdf
Data publikacji:: 2009
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: GARCH Models
returns
time series
volatility persistence
Opis:: Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2009, 1, 3; 285-291
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Autocovariance and Linear Transformations of Markov Switching VARMA Processes
Autorzy:: Cavicchioli, Maddalena
Powiązania:: https://bibliotekanauki.pl/articles/2076570.pdf
Data publikacji:: 2014
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: time series
multivariate ARMA
state-space models
Markovchains
changes in regime
autocovariance
linear representations
Opis:: We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p∗, q∗) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p∗and q∗ with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2014, 4; 275-289
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: State-dependent Autoregressive Models with p Lags: Properties, Estimation and Forecasting
Autorzy:: Gobbi, Fabio
Mulinacci, Sabrina
Powiązania:: https://bibliotekanauki.pl/articles/2119921.pdf
Data publikacji:: 2022
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: convolution-based autoregressive models
level-increment dependence
nonlinear time series
maximum likelihood
forecasting accuracy
Opis:: In this paper we consider a class of nonlinear autoregressive models in which a specific type of dependence structure between the error term and the lagged values of the state variable is assumed. We show that there exists an equivalent representation given by a p-th order state-dependent autoregressive (SDAR(p)) model where the error term is independent of the last p lagged values of the state variable (yt−1, . . . , yt−p) and the autoregressive coefficients are specific functions of them. We discuss a quasi-maximum likelihood estimator of the model parameters and we prove its consistency and asymptotic normality. To test the forecasting ability of the SDAR(p) model, we propose an empirical application to the quarterly Japan GDP growth rate which is a time series characterized by a level-increment dependence. A comparative analyses is conducted taking into consideration some alternative and competitive models for nonlinear time series such as SETAR and AR-GARCH models.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2022, 1; 81-108
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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