Essentials of time series for financial applications (Q4595036)
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scientific article; zbMATH DE number 6813255
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| English | Essentials of time series for financial applications |
scientific article; zbMATH DE number 6813255 |
Statements
27 November 2017
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financial time series
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VARMA
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VECH-GARCH
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Q-statistics
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Box-Pierce
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Ljung-Box
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information criterion
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Akaike
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Schwarz
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Hannan-Quinn
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Durbin-Watson
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Jarque-Bera
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impulse-response
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Granger causality
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unit root
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cointegration
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augmented Dickey-Fuller
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heteroskedasticity
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regime-switching
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vector error-correction model
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Markov chain
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linear regression
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multivariate VARMA models
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0.798087477684021
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0.7810867428779602
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