Non-linear time series modelling in financial economics

• Autorzy: Chappell D.
• Języki publikacji: EN

Abstrakty

EN

In this paper we give a summary of some of the non-linear time series modeIs. We present and discuss the properties of the random walk model, ARCH (auto-regressive conditional heteroscedasticity) and GARCH (generalised ARCH) classes of models, threshold auto-regressive models, smooth transition autoregressive models, bilinear models and others. We give examples of modelling chosen economic and financial phenomena and we offer modelling strategy based on flow chart.

Słowa kluczowe

EN

financial economics; non-linear modelling

PL

finansowanie; gospodarka; modelowanie nieliniowe

• Wydawca: University of Zielona Góra, Faculty of Economics and Management
• Czasopismo: Management
• Rocznik: 2000
• Tom: Vol. 4, no 1
• Strony: 85--100
• Opis fizyczny: Bibliogr. 19 poz., tab., wykr.

Twórcy

autor

Chappell D.

• University of Scheffield, Department of Economics, United Kingdom