Detecting level shifts in ARMA-GARCH (1,1) Models

By Trivez F. Javier   Catalan Beatriz  

Journal of Applied Statistics, Vol. 36, Iss. 6, 2009-06 ,pp. : 679-697

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Effects of level shifts and temporary changes on the estimation of GARCH models

By Trivez F. Javier   Catalan Beatriz  

Journal of Statistical Computation and Simulation, Vol. 80, Iss. 6, 2010-06 ,pp. : 667-688

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Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models

By Trivez F.J.   Nievas J.  

Journal of Applied Statistics, Vol. 25, Iss. 3, 1998-06 ,pp. : 409-424

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Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns

By Hossain Altaf  

Journal of Applied Statistics, Vol. 38, Iss. 3, 2011-03 ,pp. : 533-551

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Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions

By Fioruci José A.   Ehlers Ricardo S.   Andrade Filho Marinho G.  

Journal of Applied Statistics, Vol. 41, Iss. 2, 2014-02 ,pp. : 320-331

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