Nonlinearity, breaks, and long-range dependence in time-series models
Eric Hillebrand, Marcelo C. Medeiros
| Year of publication: |
January 2016
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|---|---|
| Authors: | Hillebrand, Eric ; Medeiros, Marcelo C. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 1, p. 23-41
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| Subject: | Forecasting | Long memory | Realized variance | Smooth transitions | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Volatilität | Volatility | Theorie | Theory | ARMA-Modell | ARMA model | Nichtlineare Regression | Nonlinear regression | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2014.985828 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691143