Please use this identifier to cite or link to this item: 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
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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