Add to ORKGIn this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests for the estimated model are obtained using standardasymptotic distribution theory. We illustrate the actual modelling byapplying the STAR-STGARCH model family to two series of dailyobservations, the Swedish OMX index and the exchange rate JPY-USD.
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memo...
A vast amount of econometrical and statistical research deals with modeling financial time series an...
This paper considers simultaneous modelling of seasonality, slowly changing un-conditional variance ...
Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormal...
Abstract The minute-by-minute move of the Hang Seng index (HSI) data over a 4-yr period is analysed ...
This paper discusses how to specify an observable high-frequency model for a vector of time series s...
A time series model in which the signal is buried in noise that is non-Gaussian may throw up observa...
This article investigates a general class of stochastic cycles, presenting the main properties in th...
This work is devoted to the study of modeling high frequency time series including extreme fluctuati...
We study the dynamical behavior of high-frequency data from the Korean Stock Price Index (KOSPI) usi...
In the literature, many statistical models have been used to investigate the existence of a determin...
In recent years, marked point processes have found a natural application in the modeling of ultra-hi...
This thesis presents the results of research into the use of factor models for stationary economic t...
This work is devoted to the study of modeling high frequency time series including extreme fluctuati...
This paper examines possible nonlinearities in growth rates of nine U.K. macroeconomic time series, ...
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memo...
A vast amount of econometrical and statistical research deals with modeling financial time series an...
This paper considers simultaneous modelling of seasonality, slowly changing un-conditional variance ...
Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormal...
Abstract The minute-by-minute move of the Hang Seng index (HSI) data over a 4-yr period is analysed ...
This paper discusses how to specify an observable high-frequency model for a vector of time series s...
A time series model in which the signal is buried in noise that is non-Gaussian may throw up observa...
This article investigates a general class of stochastic cycles, presenting the main properties in th...
This work is devoted to the study of modeling high frequency time series including extreme fluctuati...
We study the dynamical behavior of high-frequency data from the Korean Stock Price Index (KOSPI) usi...
In the literature, many statistical models have been used to investigate the existence of a determin...
In recent years, marked point processes have found a natural application in the modeling of ultra-hi...
This thesis presents the results of research into the use of factor models for stationary economic t...
This work is devoted to the study of modeling high frequency time series including extreme fluctuati...
This paper examines possible nonlinearities in growth rates of nine U.K. macroeconomic time series, ...
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memo...
A vast amount of econometrical and statistical research deals with modeling financial time series an...
This paper considers simultaneous modelling of seasonality, slowly changing un-conditional variance ...