scientific article; zbMATH DE number 1821192

zbMath1038.91071MaRDI QIDQ4779827

Eric Zivot, Jiahui Wang

Publication date: 28 October 2002

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

zbMATH Keywords

cointegrationrisk measurementmultivariate GARCHchange-point detectionlong memory time seriesvector autoregression modelextreme values distribution

Mathematics Subject Classification ID

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) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items

Jump detection in high-frequency financial data using wavelets, Granger causality and path diagrams for multivariate time series, A new approach to Value-at-Risk: GARCH-TSLx model with inference, Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations, Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors, Metalearning of time series: an approximate dynamic programming approach, On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions, Distributional analysis of empirical volatility in GARCH processes, Automated trading with boosting and expert weighting, Modeling Waves of Extreme Temperature: The Changing Tails of Four Cities, Testing Linearity for Network Autoregressive Models, Near-integrated GARCH sequences, Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components, Time Series Classification Based on Spectral Analysis, On testing for causality in variance between two multivariate time series, A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES, StFinMetrics, Econometric software development: past, present and future, Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models, Dispatch planning using newsvendor dual problems and occupation times: application to hydropower

Uses Software

• S-PLUS