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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th-cmuir.6653943832-447442018-04-25T07:56:09Z Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation Hung T. Nguyen Vladik Kreinovich Olga Kosheleva Songsak Sriboonchitta Agricultural and Biological Sciences © 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. 2018-01-24T04:47:28Z 2018-01-24T04:47:28Z 2015-01-01 Conference Proceeding 03029743 2-s2.0-84951004094 10.1007/978-3-319-25135-6-14 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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Chiang Mai University |
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Chiang Mai University Library |
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Thailand |
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CMU Intellectual Repository |
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Agricultural and Biological Sciences |
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Agricultural and Biological Sciences 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 ARMAX-GARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models. |
| format |
Conference Proceeding |
| 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=84951004094&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44744 |
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