Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation
© Springer International Publishing Switzerland 2015. Economic and financial processes are complex and highly nonlinear. However, somewhat surprisingly, linear models like ARMAXGARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical su...
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th-cmuir.6653943832-544212018-09-04T10:20:06Z Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta Computer Science Mathematics © Springer International Publishing Switzerland 2015. Economic and financial processes are complex and highly nonlinear. However, somewhat surprisingly, linear models like ARMAXGARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models. 2018-09-04T10:13:14Z 2018-09-04T10:13:14Z 2015-01-01 Book Series 16113349 03029743 2-s2.0-84951833870 10.1007/978-3-319-25135-6_14 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951833870&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421 |
| institution |
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Chiang Mai University Library |
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Thailand |
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Computer Science Mathematics |
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Computer Science Mathematics Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| description |
© Springer International Publishing Switzerland 2015. Economic and financial processes are complex and highly nonlinear. However, somewhat surprisingly, linear models like ARMAXGARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models. |
| format |
Book Series |
| author |
Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta |
| author_facet |
Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta |
| author_sort |
Hung T. Nguyen |
| title |
Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| title_short |
Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| title_full |
Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| title_fullStr |
Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| title_full_unstemmed |
Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| title_sort |
why armax-garch linear models successfully describe complex nonlinear phenomena: a possible explanation |
| publishDate |
2018 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951833870&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421 |
| _version_ |
1681424317414375424 |