dc.contributor.author | Politis, Dimitris Nicolas | en |
dc.creator | Politis, Dimitris Nicolas | en |
dc.date.accessioned | 2019-12-02T10:37:49Z | |
dc.date.available | 2019-12-02T10:37:49Z | |
dc.date.issued | 2009 | |
dc.identifier.issn | 1939-5108 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57509 | |
dc.description.abstract | The evolution of financial markets is a complicated real-world phenomenon that ranks at the top in terms of difficulty of modeling and/or prediction. One reason for this difficulty is the well-documented nonlinearity that is inherent at work. The state-of-the-art on the nonlinear modeling of financial returns is given by the popular auto-regressive conditional heteroscedasticity (ARCH) models and their generalizations but they all have their short-comings. Foregoing the goal of finding the 'best' model, it is possible to simply transform the problem into a more manageable setting such as the setting of linearity. The form and properties of such a transformation are given, and the issue of one-step-ahead prediction using the new approach is explicitly addressed. © 2009 John Wiley & Sons, Inc. | en |
dc.source | Wiley Interdisciplinary Reviews: Computational Statistics | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651552290&doi=10.1002%2fwics.24&partnerID=40&md5=aa647ac8fdcbd54421838f9cc04fb426 | |
dc.subject | Financial returns | en |
dc.subject | Financial data processing | en |
dc.subject | Time series | en |
dc.subject | New approaches | en |
dc.subject | Non-Linearity | en |
dc.subject | Auto-regressive | en |
dc.subject | Financial market | en |
dc.subject | Financial time series | en |
dc.subject | Heteroscedasticity | en |
dc.subject | Nonlinear modeling | en |
dc.subject | Real-world | en |
dc.subject | Short-comings | en |
dc.title | Financial time series | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1002/wics.24 | |
dc.description.volume | 1 | |
dc.description.issue | 2 | |
dc.description.startingpage | 157 | |
dc.description.endingpage | 166 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :1</p> | en |
dc.source.abbreviation | Wiley Interdiscip.Rev.Comput.Stat. | en |