کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085190 | 1477947 | 2008 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A simple non-linear model with fractional integration for financial time series data
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper provides several examples of simple non-linear time series models with fractionally integrated disturbances. Both types of models (non-linear and fractional integration) have been widely used in recent years when modeling financial data. We use a testing procedure that permits us to test the order of integration in raw time series in the context of non-linear models. The tests are applied to several financial time series, the results showing that when the non-linear sign structure is taken into account, the order of integration of the series is much higher than one, finding thus conclusive evidence against mean reversion in their behavior.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 5, December 2008, Pages 838-848
Journal: International Review of Financial Analysis - Volume 17, Issue 5, December 2008, Pages 838-848
نویسندگان
Luis A. Gil-Alana,