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Search: subject:"nonlinear ARMA"
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nonlinear ARMA
3
MLE
2
financial forecasting
2
recurrent MLP
2
1) process
1
ARMA-Modell
1
GARCH
1
Kapitalertrag
1
Neuronale Netze
1
Nichtlineares Verfahren
1
Nonlinear ARMA models
1
Nonlinear ARMA(p
1
Prognoseverfahren
1
Recurrent Support Vector Regression
1
Recurrent support vector regression
1
Regression
1
Support Vector Machine
1
Theorie
1
artificial neural networks
1
forecast comparisons
1
geometric ergodicity
1
interest rates
1
misspecification error
1
mixed spectra
1
multiplicative disturbance
1
nonlinear ARMA(8
1
q) model Markov chain Stationarity Ergodicity Geometric ergodicity
1
stationary processes
1
stochastic depreciation
1
threshold ARMA processes
1
utility function
1
wavelets
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English
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Chen, Shiyi
2
Jeong, Kiho
2
Clavel, Jose
1
Giovanni, Fonseca
1
Härdle, Wolfgang K.
1
Härdle, Wolfgang Karl
1
Lee, Oesook
1
Nachane, Dilip
1
Vu, Tam Bang
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Department of Economics, University of Hawaii-Manoa
1
Facoltà di Economia, Università degli Studi dell'Insubria
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Economics and Quantitative Methods
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Journal of Applied Statistics
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Statistics & Probability Letters
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RePEc
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EconStor
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1
Recurrent support vector regression for a
nonlinear
ARMA
model with applications to forecasting financial returns
Chen, Shiyi
;
Jeong, Kiho
;
Härdle, Wolfgang Karl
-
2008
Recurrent Support Vector Regression for a
Nonlinear
ARMA
Model with Applications to Forecasting Financial Returns … to forecast
nonlinear
ARMA
model based simulated data and real data of financial returns. The forecasting ability of the …
Persistent link: https://www.econbiz.de/10010274149
Saved in:
2
Recurrent Support Vector Regression for a
Nonlinear
ARMA
Model with Applications to Forecasting Financial Returns
Chen, Shiyi
;
Jeong, Kiho
;
Härdle, Wolfgang K.
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2008
to forecast
nonlinear
ARMA
model based simulated data and real data of financial returns. The forecasting ability of the … SFB 649 Discussion Paper 2008-051 Recurrent Support Vector Regression for a
Nonlinear
ARMA
… Vector Regression for a
Nonlinear
ARMA
Model with Applications to Forecasting Financial Returns ∗ Shiyi Chen†, Kiho Jeong …
Persistent link: https://www.econbiz.de/10005784847
Saved in:
3
Mankiw's Puzzle on Consumer Durables: A Misspecification
Vu, Tam Bang
-
Department of Economics, University of Hawaii-Manoa
-
2005
. The analytical consequence is a
nonlinear
ARMA
(infinity,1) process, which implies that the linear ARMA(1,1) is a …
Persistent link: https://www.econbiz.de/10005704468
Saved in:
4
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 …
Persistent link: https://www.econbiz.de/10005827412
Saved in:
5
Forecasting interest rates: a comparative assessment of some second-generation nonlinear models
Nachane, Dilip
;
Clavel, Jose
- In:
Journal of Applied Statistics
35
(
2008
)
5
,
pp. 493-514
, respectively, on a combined wavelet artificial neural network (WANN) analysis, a mixed spectrum (MS) analysis and
nonlinear
ARMA
…
Persistent link: https://www.econbiz.de/10005458356
Saved in:
6
On probabilistic properties of
nonlinear
ARMA
(p,q) models
Lee, Oesook
- In:
Statistics & Probability Letters
46
(
2000
)
2
,
pp. 121-131
We consider a general
nonlinear
ARMA
(p,q) model Xn+1=h(en-q+1,...,en,Xn-p+1,...,Xn)+en+1, where h : Rp+q-->R is a …
Persistent link: https://www.econbiz.de/10005319389
Saved in:
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