Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Alexandros G. Paraskevopoulos"'
Publikováno v:
SSRN Electronic Journal.
In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time varying persist
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7f5318ea991041d4536b4554401bf0dc
https://doi.org/10.2139/ssrn.3521144
https://doi.org/10.2139/ssrn.3521144
Autor:
Menelaos Karanasos, Stavroula Yfanti, Michail Karoglou, Faek Menla Ali, Alexandros G. Paraskevopoulos
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::521fe1a77766d8eb31f993ddc7fe9112
http://sro.sussex.ac.uk/id/eprint/71703/1/1-s2.0-S0927539814000760-main.pdf
http://sro.sussex.ac.uk/id/eprint/71703/1/1-s2.0-S0927539814000760-main.pdf
Autor:
Alexandros G. Paraskevopoulos, Stavroula Yfanti, Menelaos Karanasos, Faek Menla Ali, Michail Karoglou
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fedcab6a3f822d424284cbd8aa099e4c
http://arxiv.org/abs/1403.7179
http://arxiv.org/abs/1403.7179
The standard approach for studying the periodic ARMA model with coefficients that vary over the seasons is to express it in a vector form. In this paper we introduce an alternative method which views the periodic formulation as a time varying univari
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1eaccd9e6eec525000e09ca8cfd58736
http://arxiv.org/abs/1403.4803
http://arxiv.org/abs/1403.4803
Publikováno v:
SSRN Electronic Journal.
The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the forecasts of the series from a recursion relation. Instead, we provide the l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6987454b24c8cd8f49c25bae9123c4fb
https://doi.org/10.2139/ssrn.2409590
https://doi.org/10.2139/ssrn.2409590