Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421
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 ARMAXGARCH 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=84951833870&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421
ISSN: 16113349
03029743
Appears in Collections:CMUL: Journal Articles

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