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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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Autoregressive Conditional Tail Behavior and Results on Government Bond Yield Spreads
TL;DR: In this article, a fixed changepoint Pareto-type autoregressive conditional tail model is proposed to model the time-varying tail index of speculative return distributions.
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Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
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Food price volatility effect of exchange rate volatility in nigeria
TL;DR: In this article, the authors investigated the volatility dynamics in food price index returns (FPIRETURNS), imported food prices index returns, price of dollars at bureau de change (BDCRETURNs), and inter-bank rate (EXRETURns) and found leverage effect and high persistence in some of the selected models.
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Semi-parametric estimation for ARCH models
TL;DR: In this paper, semi-parametric estimation for autoregressive conditional heteroscedasticity (ARCH) model with Quasi likelihood (QL) and Asymptotic Quasi-likelihood (AQL) estimation methods is conducted.
Can the Stock Market be Linearized
TL;DR: This work proposes to transform the problem into a more manageable setting such as the setting of linearity, and the issue of one-step-ahead prediction using the new approach is explicitly addressed.