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 ARMAX-GARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical s...
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| Main Authors: | , , , |
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| Format: | Conference Proceeding |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951004094&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44744 |
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| Institution: | Chiang Mai University |
| Summary: | © Springer International Publishing Switzerland 2015. Economic and financial processes are complex and highly nonlinear. However, somewhat surprisingly, linear models like ARMAX-GARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models. |
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