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 ARMAXGARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical su...

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Main Authors: Hung T. Nguyen, Vladik Kreinovich, Olga Kosheleva, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Computer Science
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951833870&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421
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Institution: Chiang Mai University
id th-cmuir.6653943832-54421
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spelling th-cmuir.6653943832-544212018-09-04T10:20:06Z 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 ARMAXGARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models. 2018-09-04T10:13:14Z 2018-09-04T10:13:14Z 2015-01-01 Book Series 16113349 03029743 2-s2.0-84951833870 10.1007/978-3-319-25135-6_14 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951833870&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421
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 ARMAXGARCH often describe these processes reasonably well. In this paper, we provide a possible explanation for the empirical success of these models.
format Book Series
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=84951833870&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54421
_version_ 1681424317414375424

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