Results 11 to 20 of about 46 (45)
Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test [PDF]
, 2006 Bootstrap, structural breaks, cointegration testing, extended error correction model, co-breaks, 62M10, 91B84, 62F40, 82C80, 62F03, 62P20,
Alvaro Escribano +4 more
core +2 more sources
Evaluation of Test Statistics for Detection of Outliers and Shifts [PDF]
, 2020 Existence of outliers and structural breaks having mutually unknown nature, in time series data, offer challenges to data analysts in model identification, estimation and validation.
Urooj, Amena, Asghar, Zahid
core +1 more source
A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation [PDF]
, 2019 In this paper, we consider a Bayesian analysis of a change in the mean of independent gaussian samples in the presence of a single outlier. An unconditional Bayesian significance test for testing change versus no change is performed under consideration ...
Slama, Abdeldjalil, Fellag, Hocine
core +1 more source
On the threshold hyperbolic GARCH models [PDF]
, 2011 In the financial market, the volatility of financial assets plays a key role in the problem of measuring market risk in many investment decisions. Insights into economic forces that may contribute to or amplify volatility are thus important.
Kwan, W, Li, WK, Li, G
core +1 more source
Locf imputation for Astra Agro Lestari Tbk. (Indonesia) and Anadolu Group (Turkey) stock
, 2022 This study aims to apply time series graphs on stock of Astra Agro Lestari Tbk. and Anadolu Group with last observation carried forward (LOCF) imputation. The imputation was used because the data for the two companies had missing values on several dates.
Fadhlul Mubarak +2 more
core +1 more source
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
, 2021 This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily independent (i.e. weak FARIMA). We first study the joint distribution of the
Esstafa, Youssef +2 more
core +1 more source
Long memory properties and covariance structure of the EGARCH model [PDF]
, 2002 . The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory.
Marie-claude Viano +3 more
core +1 more source
, 2010 Cointegration, Weak error process, Portmanteau tests, Lagrange multiplier test, Vector error correction model, 91B84, 62M10,
Hamdi Raïssi, Raïssi, Hamdi
core +1 more source
Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion [PDF]
ARCH, Times series, Fractional Brownian motion, Maximum likelihood estimator, Long memory, Whittle estimator, Moving average, Primary 62M09, Secondary 60G18, 62M10, 91B84,
Michael Levine +2 more
core +1 more source
Detecting changes from short to long memory
Change in persistence, Unknown change point, Change point estimation, 91B84, 62F05,
Jan Scheithauer, Uwe Hassler
core +1 more source