Forecasting of global market prices of major financial instruments

DOI10.1155/2020/1258463zbMath1450.62132OpenAlexW3085128647MaRDI QIDQ2004258

Ruwan D. Nawarathna, Roshani W. Divisekara, Lakshika S. Nawarathna

Publication date: 14 October 2020

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/1258463

zbMATH Keywords

forecastingAkaike information criterion (AIC)Bayesian information criteria (BIC)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical aspects of information-theoretic topics (62B10)

Uses Software

• astsa
• FinTS
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Cites Work

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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Applied Time Series Econometrics
• GARCH Models
• Analysis of Financial Time Series
• DIAGNOSTIC TEST FOR GARCH MODELS BASED ON ABSOLUTE RESIDUAL AUTOCORRELATIONS
• Threshold heteroskedastic models

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