Search Results - subject:"Moving average processes"

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25

using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes …

Persistent link: https://www.econbiz.de/10011961446

A gamma moving average process for modelling dependence across development years in run-off triangles

Nieto-Barajas, Luis E.; Targino, Rodrigo S. - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 245-266

Persistent link: https://www.econbiz.de/10012437281

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25

using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes …

Persistent link: https://www.econbiz.de/10012611071

A modified ADF test for geometric ARMA processes

Firoozi, Fathali; Lien, Da-hsiang Donald - In: International journal of business and economics 15 (2016) 2, pp. 173-179

Persistent link: https://www.econbiz.de/10011612871

How are VIX and stock index ETF related?

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016

using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes …

Persistent link: https://www.econbiz.de/10011441620

Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011403202

On determining the optimal sampling frequency for feedback quality control systems

Kartha, C. P. - In: Analele ştiinţifice ale Univerşităţii Alexandru … 61 (2014) 1, pp. 55-66

Persistent link: https://www.econbiz.de/10010423844

How are VIX and Stock Index ETF related?

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016

using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes …

Persistent link: https://www.econbiz.de/10011451524

FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES

BENTH, FRED ESPEN; BLANCO, SARA ANA SOLANILLA - In: International Journal of Theoretical and Applied … 18 (2015) 02, pp. 1550010-1

We show that the forward price can be represented as a functional of the spot price path in the case of Lévy semistationary (LSS) models for the spot dynamics. The functional is a weighted average of the historical spot price in general, and is derived by means of the Laplace transform. For the...

Persistent link: https://www.econbiz.de/10011279133

On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing

Luati, Alessandra; Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2008

polynomial regression it is shown that there is a class of covariance structures, associated with non-invertible moving average … processes of given orders which yield the the Epanechnikov and the Henderson kernels as the optimal kernels. …

Persistent link: https://www.econbiz.de/10005616805