scientific article; zbMATH DE number 6813255

zbMath1418.62005MaRDI QIDQ4595036

Massimo Guidolin, Manuela Pedio

Publication date: 27 November 2017

Full work available at URL: https://www.sciencedirect.com/science/book/9780128134092

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Markov chaincointegrationunit rootGranger causalitylinear regressionfinancial time seriesinformation criterionregime-switchingheteroskedasticityVARMAimpulse-responseBox-PierceLjung-BoxAkaikeSchwarzvector error-correction modelDurbin-Watsonaugmented Dickey-FullerHannan-QuinnJarque-Beramultivariate VARMA modelsQ-statisticsVECH-GARCH

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (1)

Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model

Uses Software

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