Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

DOI10.1002/for.2477zbMath1397.62316OpenAlexW2617856956MaRDI QIDQ4687646

Mohammad Mohammadi

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2477

zbMATH Keywords

conditional expectationstock marketvolatilityautoregressive moving averageautoregressive conditional heteroskedasticitywind speed

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Economic time series analysis (91B84)

Related Items (1)

Extrapolation of stationary random fields via level sets

This page was built for publication: Prediction of α‐stable GARCH and ARMA‐GARCH‐M models