Three-factor profile analysis with GARCH innovations

DOI10.1016/J.MATCOM.2006.12.011MaRDI QIDQ2479433zbMATH OpenOpenAlexFDO

Authors Pui Lam Leung, Wing-Keung Wong

Publication date 26 March 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2006.12.011

zbMATH Keywords

ANOVAGARCH modeltreatmentprofile analysisMANOVAtime-dependenceAmerican depository receipts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Analysis of variance for high-dimensional time series
• Analysis of variance for multivariate time series
• Autoregressive time series analysis of variance with skew normal innovations
• GARCH-type factor model
• Linear models and time-series analysis. Regression, ANOVA, ARMA and GARCH

Cites work

• scientific article; zbMATH DE number 3291672 (Why is no real title available?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Handbook of econometrics. Vol. 4
• Profile analysis of several groups

Cited in

(2)

• ANOVA method applied to proton exchange membrane fuel cell ageing forecasting using an echo state network
• Multivariate linear and nonlinear causality tests

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