Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series
Holger Kömm, Ulrich Küsters (Catholic University of Eichstätt-Ingolstadt, Department of Economics, Ingolstadt, Germany)
| Year of publication: |
July-September 2015
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| Authors: | Kömm, Holger ; Küsters, Ulrich |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 598-608
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| Subject: | Agriculture | ARIMA models | GARCH models | Mixture models | Price forecasting | Time series | Volatility forecasting | Zero-inflated models | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Markov-Kette | Markov chain | Börsenkurs | Share price | ARMA-Modell | ARMA model |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2014.10.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474425