Search Results - subject:"ARMA processes"

Entropy and efficiency of the ETF market

Calcagnile, Lucio Maria; Corsi, Fulvio; Marmi, Stefano - In: Computational economics 55 (2020) 1, pp. 143-184

Persistent link: https://www.econbiz.de/10012222595

Stochastic modeling of Supramax spot and forward freight rates

Benth, Fred Espen; Koekebakker, Steen - In: Maritime economics & logistics : a quarterly scientific … 18 (2016) 4, pp. 391-413

Persistent link: https://www.econbiz.de/10011587528

Time series models for credit default swap premiums

Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44

Persistent link: https://www.econbiz.de/10011380101

The Real Part of a Complex ARMA Process

Bailey, Ralph - Department of Economics, University of Birmingham - 2005

some simpler process. This provides an alternative, ReCARMA, parametrization for real ARMA processes. The choice of which …

Persistent link: https://www.econbiz.de/10005086707

On the stability of nonlinear ARMA models

Giovanni, Fonseca - Facoltà di Economia, Università degli Studi dell'Insubria - 2005

In the present paper we study the stability of a class of nonlinear ARMA models. We derive a sufficient condition to ensure the geometric ergodicity and we apply it to a very general threshold ARMA model imposing a mild assumption on the thresholds

Persistent link: https://www.econbiz.de/10005827412

Time series analysis : textbook for students of economics and business administration ; [part 2]

Strohe, Hans Gerhard - 2004

Persistent link: https://www.econbiz.de/10009449118

Comparing Several Parametric and Nonparametric Approaches to Time Series Clustering: A Simulation Study

Díaz, Sonia; Vilar, José - In: Journal of Classification 27 (2010) 3, pp. 333-362

Persistent link: https://www.econbiz.de/10008775695

Measuring serial dependence in categorical time series

Weiß, Christian; Göb, Rainer - In: AStA Advances in Statistical Analysis 92 (2008) 1, pp. 71-89

Persistent link: https://www.econbiz.de/10005598108

Some mixing properties of time series models

Pham, Tuan D.; Tran, Lanh T. - In: Stochastic Processes and their Applications 19 (1985) 2, pp. 297-303

Sufficient conditions are given for linear processes and ARMA processes to have the Gaswirth and Rubin mixing condition …

Persistent link: https://www.econbiz.de/10008874749