Unobserved components in ARCH models: an application to seasonal adjustment
Article Abstract:
The presence of nonlinearities in Spain's money supply or liquid assets in the hands of the public (ALP) between Jan. 1974 and Dec. 1990, reveals the presence of unobserved components in ARIMA models with generalized autoregression conditionally heteroscedasticity errors. Specifically, it was seen that the conditional variance of the monetary aggregate series or ALP is composed of a 'weak linear trend, a strong nonlinear seasonal component, and a moderate nonlinear irregular component.'
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1996
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Changing time scale for short-term forecasting in financial markets
Article Abstract:
A successively layered model for forecasting foreign exchange rates and interbank interest rates within a short horizon is introduced. It introduces the concept of a variable time scale and intrinsic time to exploit the statistical properties of intra-day exchange and interest rate data and, subsequently, change the time scale. It is characterized by univariate time series analysis and multiple linear regression.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1996
User Contributions:
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