The JLS model with ARMA/GARCH errors

DOI10.26493/1855-3974.746.DABMaRDI QIDQ4597483zbMATH OpenOpenAlexWikidataFDO

Authors Špela Jezernik Širca, M. Omladič

Publication date 13 December 2017

Published in Ars Mathematica Contemporanea (Search for Journal in Brave)

Full work available at URL https://doi.org/10.26493/1855-3974.746.dab

zbMATH Keywords

graph operationsJLS modelARMA/GARCH errorsfinancial bubbles and crasheshierarchical diamond lattice

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)

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Cited in

(3)

• ARMA MODELS WITH ARCH ERRORS
• New JLS-factor model versus the standard JLS model: a case study on Chinese stock bubbles
• Estimation on Rational Speculative Bubbles in Stock Market by Using Generalised Johansen-Ledoit-Sornette Model

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