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http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421| Title: | Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation |
| Authors: | Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta |
| Authors: | Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta |
| Keywords: | Computer Science;Mathematics |
| Issue Date: | 1-Jan-2015 |
| Abstract: | © 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. |
| URI: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951833870&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421 |
| ISSN: | 16113349 03029743 |
| Appears in Collections: | CMUL: Journal Articles |
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