Modelling Comovements of Economic Time Series: A Selective Survey
نویسندگان
چکیده
منابع مشابه
Comment on ‘‘Modelling nonlinear comovements between time series”
This paper comments on the multivariate GARCH modeling of federal funds and the 3-month Treasury bill rate by Kyrtsou and Vorlow. 2008 Elsevier Inc. All rights reserved. JEL classification: G0; C4
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Modelling Memory of Economic and Financial Time Series
Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of ’memory’, or strength of dependence across time, which is a helpful discriminator between different phenomena of interest. Both linear and nonlinear models are d...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1949657