Why ARMAX-GARCH linear models successfully describe complex nonlinear phenomena: A possible explanation

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: Hung T. Nguyen, Vladik Kreinovich, Olga Kosheleva, Songsak Sriboonchitta
Format: Conference Proceeding
Published: 2018
Subjects:
Computer Science
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951004094&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54413
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Institution: Chiang Mai University
id th-cmuir.6653943832-54413
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spelling th-cmuir.6653943832-544132018-09-04T10:20:02Z 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 ARMAX-GARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models. 2018-09-04T10:13:07Z 2018-09-04T10:13:07Z 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/6653943832/54413
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Mathematics
spellingShingle 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 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/6653943832/54413
_version_ 1681424315972583424

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