Modelling asymmetric behaviour in time series: identification through PSO

DOI10.1007/978-3-319-02499-8_24MaRDI QIDQ4561920zbMATH OpenOpenAlexFDO

Authors Claudio E. A. Pizzi, Francesca Parpinel

Publication date 13 December 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02499-8_24

zbMATH Keywords

asymmetric behaviourbear marketfinancial time seriesparticle swarm optimizationparticle swarm optimization algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• Artificial intelligence and computational intelligence. International conference, AICI 2009, Shanghai, China, November 7--8, 2009. Proceedings
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• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 775746 (Why is no real title available?)
• Iterative estimation procedure for option pricing with stochastic volatility models
• Multi-regime models for nonlinear nonstationary time series
• Sample Splitting and Threshold Estimation
• Subsampling inference in threshold autoregressive models
• Testing and Modeling Multivariate Threshold Models
• Threshold heteroskedastic models

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