In this paper, the S&P 500 stock index is studied for its time varying volatility and stylized facts. The ARMA mean equation with asymmetric power ARCH errors is used to model the series correlations and the conditional heteroscadesticity in the asset returns. The conditional distributions of the standardized residuals are assumed to be the normal distribution, the t distribution or the skew-t ...

The pourpose of this paper is to propose the Stock Market (SM) volatility estimation method based on the Higher Order Cumulant (HOC) function, and to apply it to the cases when stock market returns have a non Gaussian distribution and/or when a distribution of SM innovations is unknown. The HOC functions of the third and fourth order are used not only as a means for non Gaussian model testing b...

This paper discusses the stochastic process structure of certain differential transformations (OTis) associated with perfectly observed ARMA processes and uses DT's to obtain the asymptotic information matrix for possibly non-Gaussian situations. The DT's can also be applied to implement approximate M-estimate algorithms for the ARMA model parameters. M-estimates yield asymptotic efficieQcy rob...

A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of ARMA models or the distance between vector autoregressive (VAR) models.

Emergence of the newly identified 16S rRNA methylases RmtA, RmtB, and ArmA in pathogenic gram-negative bacilli has been a growing concern. ArmA, which had been identified exclusively in Europe, was also found in several gram-negative pathogenic bacilli isolated in Japan, suggesting global dissemination of hazardous multiple aminoglycoside resistance genes.

هدف: کارآفرینی یکی از عوامل کلیدی در توسعه اقتصادی و شاخص اساسی جوامع روبه‌رشد است. آنچه که کارآفرین را به آغاز فعالیت ترغیب می‌کند، انگیزه فرایند تبدیل یک فرد عادی است می‌تواند فرصت‌هایی ایجاد کند حداکثر رساندن ثروت کمک کند. هدف این پژوهش شناسایی طبقه‌بندی انگیزه‌های کارآفرینان می­باشد.طراحی/ روش‌شناسی/ رویکرد: با رویکرد مرور نظام­مند استفاده ماتریس شش سلولی دو مؤلفه جهت (کشش یا فشار) منبع (اق...