Dynamic seasonality in time series

DOI10.1016/j.csda.2013.09.010zbMath1471.62187OpenAlexW2067680505MaRDI QIDQ1615231

Mike K. P. So, Ray S. W. Chung

Publication date: 2 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.09.010

zbMATH Keywords

model selectionconditional heteroskedasticityfinancial time seriesGARCH modelsdynamic seasonality

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Sparse seasonal and periodic vector autoregressive modeling ⋮ Parsimonious periodic autoregressive models for time series with evolving trend and seasonality

Uses Software

• expsmooth
• SenSrivastava

Cites Work

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• Adaptive Holt-Winters Forecasting
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• Periodic Time Series Models

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