Asymmetric time series and temporal aggregation
Article Abstract:
The autoregressive asymmetric moving average model (ARasMA) of Brannas and De Gooijer is used in testing for nonlinearities in Swedish monthly, quarterly and annual unemployment data. ARasMA is a variation of the linear autoregressive moving average model that allows for direct linearity testing. Results show that there is symmetry and linearity in the annual series but not in the monthly and quarterly series. This findings are true regardless whether seasonally-adjusted data are used or not.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1999
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Multivariate density forecast evaluation and calibration in financial risk management:high-frequency returns on foreign exchange
Article Abstract:
A framework is provided for making multivariate density forecasts of the foreign exchange, allowing risk management calibrations for specific conditions.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
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