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Time series models : in econometrics, finance and other fields
Abstract:
Statistical Aspects of ARCH and Scholastic Volatility Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series Forecasting in Macroeconomics Longitudinal Panel Data: An Overview of Current Methodologyread more
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Modelling and forecasting financial log-returns as locally stationary wavelet processes
TL;DR: In this article, the LSW model was used to model financial log-return series in the Locally Stationary Wavelet (LSW) framework proposed by Nason et al. (2000).
Journal ArticleDOI
Internet QoS and traffic modelling
TL;DR: The paper discusses important QoS issues, techniques for measurement and analysing Internet traffic, and new trends and methodology for Internet traffic modelling, and presents the results based on the measured Internet traffic to validate the new model and the potential of the model to capture the characteristics of traffic for the Internet.
Journal ArticleDOI
Modelling economies in transition: an introduction
TL;DR: In this paper, the implications of structural breaks for econometric modelling based on the multivariate cointegration paradigm are considered, and the impact of structural break on the identification and estimation of such systems is discussed.
Posted Content
A GARCH Option Pricing Model in Incomplete Markets
TL;DR: In this article, a new method for pricing options based on GARCH models with filtered historical innovations was proposed, which allows for different distributions of the historical and the pricing return dynamics enhancing the model flexibility to fit market option prices.
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Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan
TL;DR: In this paper, the authors present an empirical analysis of the volatility of real growth rates for the United States, the United Kingdom and Japan using three ARCH-type models (GARCH, T-GARCH and E-Garch) utilizing the maximum likelihood method.