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http://cmuir.cmu.ac.th/jspui/handle/6653943832/54413| Title: | Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| Authors: | Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta |
| Authors: | Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta |
| Keywords: | Computer Science;Mathematics |
| Issue Date: | 1-Jan-2015 |
| Abstract: | © Springer International Publishing Switzerland 2015. Economic and financial processes are complex and highly nonlinear. However, somewhat surprisingly, linear models like ARMAX-GARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models. |
| URI: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951004094&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54413 |
| ISSN: | 03029743 |
| Appears in Collections: | CMUL: Journal Articles |
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